How many stock index futures contracts are required to completely hedge a $250 million stock portfolio, assuming

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How many stock index futures contracts are required to completely hedge a $250 million stock portfolio, assuming a portfolio beta of .75 and a Mini S&P 500 index futures level of 4,200?

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Fundamentals Of Investments Valuation And Management

ISBN: 9781266824012

10th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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Question Posted: Dec 31, 2023 11:02 AM

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How many stock index futures contracts are required to completely hedge a $250 million stock portfolio, assuming

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Using Equation 149 Therefore you need to short 893 st...View the full answer

Fundamentals Of Investments Valuation And Management

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