Question
The current value of the S&P 500 index is 1,456, and each S&P futures contract is for delivery of 250 times the index. A long-only
The current value of the S&P 500 index is 1,456, and each S&P futures contract is for delivery of 250 times the index. A long-only equity portfolio with market value of USD 300,100,000 has a beta of 1.1. To reduce the portfolio beta to 0.75, how many S&P futures contracts should you sell?
a.618 contracts.
b.288 contracts.
c.574 contracts.
d.906 contracts.
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How Finance Works
Authors: Mihir Desai
1st Edition
1633696707, 978-1633696709
