Question
Alexander Investor manages an equity portfolio with a market value of$5,000,000. The portfolio beta is 1.8.Alexander finds this somewhat overly aggressive for the client's risk
Alexander Investor manages an equity portfolio with a market value of$5,000,000. The portfolio beta is 1.8.Alexander finds this somewhat overly aggressive for the client's risk profile and sells 40 DJIA futures contracts. The contract is defined as $10 times index and is currently trading at 15073. Alexander anticipates that this hedge will reduce the portfolio beta to
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International financial management
Authors: Jeff Madura
13th edition
978-1337099738, 1337099732, 9781337515894, 1337515892, 978-1337587211
