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A portfolio manager has a $500 million dollar stock portfolio with a beta of 0.95. She decides she wants to target a beta of
A portfolio manager has a $500 million dollar stock portfolio with a beta of 0.95. She decides she wants to target a beta of 1.05 using E-mini S&P 500 index futures. Assuming the S&P 500 index is trading at 4,000 and each futures contract represents $50 times the index, what action should she take?
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To achieve a target beta of 105 the portfolio manager can use Emini SP 500 index futures to adjust t...
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Fundamentals of Investment Management
Authors: Geoffrey Hirt, Stanley Block
10th edition
0078034620, 978-0078034626
