A manager is holding a $1 million stock portfolio with a beta of 1.25. She would like

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A manager is holding a $1 million stock portfolio with a beta of 1.25. She would like to hedge the risk of the portfolio using the S&P/TSX 60 stock index futures contract. How many dollars' worth of the index should she sell in the futures market to minimize the volatility of her position?

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Investments

ISBN: 9781259271939

9th Canadian Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus, Lorne Switzer, Maureen Stapleton, Dana Boyko, Christine Panasian

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