You manage a $100 million stock portfolio with a beta of .8. Given a contract size of
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You manage a $100 million stock portfolio with a beta of .8. Given a contract size of $100,000 for a stock index futures contract, how many contracts are needed to hedge your portfolio? Assume the beta of the futures contract is 1.
a. 8
b. 80
c. 800
d. 8,000.
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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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