Question
Suppose you are managing an equity portfolio with a beta of 0.8 and $15M in assets. S&P 500 index futures with a multiplier of 250
Suppose you are managing an equity portfolio with a beta of 0.8 and $15M in assets. S&P 500 index futures with a multiplier of 250 (not the e-mini futures) are currently priced at 1,057, and the index is also 1,057. What position in index futures is necessary to increase the portfolio beta to 1.4?
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Entrepreneurial Finance Strategy, Valuation, And Deal Structure
Authors: Janet Smith, Richard Smith, Richard Bliss
1st Edition
0804770913, 9780804770910
