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Assume that you manage an equity portfolio. The portfolio beta is 1.05. You anticipate a decline in equity values and wish to hedge $400 million
Assume that you manage an equity portfolio. The portfolio beta is 1.05. You anticipate a decline in equity values and wish to hedge $400 million of the portfolio. Calculate the number of contracts you would need to hedge your position and indicate whether you would go short or long. Assume that the price of the S&P 500 futures contract is 1005 and the multiplier is 350.
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