Question
A portfolio manager manages a portfolio worth $15 million invested in stocks, with a beta of 1.01. The manager believes the stock market is goingto
A portfolio manager manages a portfolio worth $15 million invested in stocks, with a beta of 1.01. The manager believes the stock market is goingto decline 2% in the following month and decides to hedge his portfolio using S&P 500 index futures contracts. Suppose that the contract multiplier is $250. The S&P 500 stock index is currently at 920.
How many contracts should the portfolio manager sell?
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Intermediate Financial Management
Authors: Brigham, Daves
10th Edition
978-1439051764, 1111783659, 9780324594690, 1439051763, 9781111783655, 324594690, 978-1111021573
