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Find the optimal stock index futures hedge ratio if you hold a portfolio worth $1,500,000, the beta is 1.2 and the S&P 500 futures price
Find the optimal stock index futures hedge ratio if you hold a portfolio worth $1,500,000, the beta is 1.2 and the S&P 500 futures price is 3,000 with a multiplier of 50.
a. -10
b. -12
c. -2,532
d. 2,532
-38
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