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Suppose you manage a $13.5 million equity portfolio, which has a beta of 1.2 and is perfectly diversified. The variance of the monthly excess return

Suppose you manage a $13.5 million equity portfolio, which has a beta of 1.2 and is perfectly diversified. The variance of the monthly excess return is 0.3. To get rid of the systematic risk, you also use S&P 500 index futures contract to hedge this portfolio. What is the variance of your hedged revenue?

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