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A portfolio has a beta of 3 and is worth $100 million. The risk-free interest rate is 2% per annum and the index stands by

A portfolio has a beta of 3 and is worth $100 million. The risk-free interest rate is 2% per annum and the index stands by 1500. Each option contract is $100 times the index.

a) Which option (put or call)

b) how many/nuber of contracts

c) exercise price

should be purchased to provide protection against the value of the portfolio falling below $90 million in one years time?

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