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Value of S&P 5 0 0 is 1 , 0 0 0 Value of Portfolio is $ 5 millionBeta of portfolio is 1 . 5

Value of S&P

500

1, 000

Value of Portfolio is $

5

millionBeta of portfolio is

1.5

What position in futures contracts on theS&P

500

is necessary to hedge theportfolio?

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