Question
S&P 500 futures price is 1,000 Value of Portfolio is $5 million Beta of portfolio is 1.5 Multiplier is 50 What position in futures contracts
S&P 500 futures price is 1,000
Value of Portfolio is $5 million
Beta of portfolio is 1.5
Multiplier is 50
What position in futures contracts on the S&P 500 is necessary to hedge the portfolio?
What position is necessary to reduce the beta of the portfolio to 0.75?
What position is necessary to increase the beta of the portfolio to 2.0?
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Money Banking And Financial Markets
Authors: Stephen Cecchetti
2nd Edition
0073523097, 9780073523095
