Question
Your investment position consists of (i) hand-picked stocks with a total market value of $10,000,000 and a systematic risk of =1.4, and (ii) a short
Your investment position consists of (i) hand-picked stocks with a total market value of $10,000,000 and a systematic risk of =1.4, and (ii) a short position in 7 futures contract on S&P 500 index. Find the systematic risk () of your total investment position if the futures index price is 2000 and the futures contract is for $250 times the index.
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Introduction to Managerial Accounting
Authors: Peter Brewer, Ray Garrison, Eric Noreen
7th edition
978-1259675539, 125967553X, 978-1259594168, 1259594165, 78025796, 978-0078025792
