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You currently have $63,000,000 in a stock portfolio with a beta of 1.20. Expecting stocks to do very poorly over the next three months,
You currently have $63,000,000 in a stock portfolio with a beta of 1.20. Expecting stocks to do very poorly over the next three months, you decide to REDUCE your beta to 0.80. There exists a futures contract on 50 "shares" of the S&P 500 with a beta of 1.00 and a price of $4,200 per share. Design a strategy that will achieve the desired change in equity market exposure.
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To achieve the desired change in equity market exposure by reducing the beta from 120 to 080 we need ...
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
