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Ben is a portfolio manager at IDS Capital, managing an equity portfolio worth $20 million with a beta of 1.3 . Ben is concerned about
Ben is a portfolio manager at IDS Capital, managing an equity portfolio worth $20 million with a beta of 1.3 . Ben is concerned about the performance of the market over the next two months and plans to use three-month futures contracts on the XTF100 stock index to hedge the risk. The current level of the XTF100 index is 800 points, the risk-free rate is 6% per annum, and the dividend yield on the index is 2.4% per annum. The current three-month futures price is 807 points, and the point value of the contract is $1000 . How many futures contracts on the XTF100 index does BEN need to buy or sell so as to hedge the risk for the equity portfolio
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