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You hold a stock portfolio worth $20 million with a beta of 1.63. You would like to lower the beta to 0.95 using S&P 500
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SOLUTION To lower the portfolio beta from 163 to 095 using SP 500 futures we need to calculate the n...Get Instant Access to Expert-Tailored Solutions
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
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