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Find the number of futures contracts that should be held short to hedge the position On August 29, a portfolio manager is holding a portfolio
Find the number of futures contracts that should be held short to hedge the position
On August 29, a portfolio manager is holding a portfolio of stocks worth $3,783,210. The manager expects the stock market as a whole to fall substantially over the next three months and wants to protect the portfolio. + Price Number of Shares Market Value Beta Weight 0.12 40.50 11,350.00 459,675.00 0.95 Beneficial Corp. Cummins Engine Gillette 64.50 0.19 1.10 0.85 62.00 0.20 Kmart 33.00 0.05 1.15 49.00 10,950.00 12,400.00 5,500.00 4,600.00 6,750.00 11,400.00 7,650.00 0.06 Boeing W.R. Grace Eli Lilly Parker Pen 1.15 706,275.00 768,800.00 181,500.00 225,400.00 287,685.00 996,132.00 157,743.00 3,783,210.00 42.62 87.38 0.08 0.26 1.00 0.85 20.62 0.04 0.75 1.00 On August 29, a portfolio manager is holding a portfolio of stocks worth $3,783,210. The manager expects the stock market as a whole to fall substantially over the next three months and wants to protect the portfolio. + Price Number of Shares Market Value Beta Weight 0.12 40.50 11,350.00 459,675.00 0.95 Beneficial Corp. Cummins Engine Gillette 64.50 0.19 1.10 0.85 62.00 0.20 Kmart 33.00 0.05 1.15 49.00 10,950.00 12,400.00 5,500.00 4,600.00 6,750.00 11,400.00 7,650.00 0.06 Boeing W.R. Grace Eli Lilly Parker Pen 1.15 706,275.00 768,800.00 181,500.00 225,400.00 287,685.00 996,132.00 157,743.00 3,783,210.00 42.62 87.38 0.08 0.26 1.00 0.85 20.62 0.04 0.75 1.00Step by Step Solution
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