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A portfolio manager has a $50 million portfolio with a beta of 1.2. The manager would like to use futures contracts on a stock index

A portfolio manager has a $50 million portfolio with a beta of 1.2. The manager would like to use futures contracts on a stock index to manage the portfolio risk. The current futures price is 760 and each contract is for the delivery of $250 times the index.

What if the manager decides to reduce the beta to 0 instead?

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