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A manager of a portfolio worth $20 million is concerned that the market might decline rapidly during the next 6 months and would like to
A manager of a portfolio worth $20 million is concerned that the market might decline rapidly during the next 6 months and would like to use index put options to provide protection against the portfolio falling below $18 million. The index currently stands at 3,400 and each contract is on 100 times the index. What position is required if the portfolio has a beta of 0.8?
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