Question
An investor owns a portfolio worth $154 million and the current value of the S&P 500 index is 1,000. The portfolio has a beta of
An investor owns a portfolio worth $154 million and the current value of the S&P 500 index is 1,000. The portfolio has a beta of 1.5. The risk-free rate is 0.7% and S&P futures have a multiplier of $250.
If the investor wants to make their position market-neutral, how many futures contracts should they sell?
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Financial statements
Authors: Stephen Barrad
5th Edition
978-007802531, 9780324186383, 032418638X
