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You are managing a portfolio of stocks that currently has a beta of 1.2 and a value of $100 million. The current S&P 500
You are managing a portfolio of stocks that currently has a beta of 1.2 and a value of $100 million. The current S&P 500 futures price is 4320. You fear that the market is going to do poorly, and would like to reduce your beta to 0.25. If each contract's payoff is $250 times the level of the S&P500 index, what position should you take in the S&P500 index futures?
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Intermediate Financial Management
Authors: Brigham, Daves
10th Edition
978-1439051764, 1111783659, 9780324594690, 1439051763, 9781111783655, 324594690, 978-1111021573
