Question
Q3, A company has a $9 million portfolio with a beta of 1.43. The futures price for a contract on an index is 900. Futures
Q3, A company has a $9 million portfolio with a beta of 1.43. The futures price for a contract on an index is 900. Futures contracts on $250 times the index can be traded. What trade is necessary to reduce beta to 0.54?
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Derivatives Markets
Authors: Robert McDonald
3rd Edition
978-9332536746, 9789332536746
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