Question
You are managing a portfolio of stocks that currently has a beta of 2.1 and a value of $100 million. The current level of the
You are managing a portfolio of stocks that currently has a beta of 2.1 and a value of $100 million. The current level of the S&P 500 is 1573. You fear that the market is going to do poorly, and would like to reduce your beta to 0.5. If each contracts 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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Applied Quantitative Finance
Authors: Härdle
3rd Edition
3662544857, 978-3662544853
