S&P 500 futures price is 1,000 Value of Portfolio is $5 million Beta of portfolio is 1.5

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S&P 500 futures price is 1,000

Value of Portfolio is $5 million

Beta of portfolio is 1.5

Multiplier is 50

What position in futures contracts on the S&P 500 is necessary to hedge the portfolio?

•What position is necessary to reduce the beta of the portfolio to 0.75?

•What position is necessary to increase the beta of the portfolio to 2.0?

Related Book For answer-question

Fundamentals of Investment Management

ISBN: 978-0078034626

10th edition

Authors: Geoffrey Hirt, Stanley Block

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Posted Date: Feb 20, 2024 06:59 AM

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S&P 500 futures price is 1,000 Value of Portfolio is $5 million Beta of portfolio is 1.5

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Portfolio Hedging with SP 500 Futures Heres the analysis of your portfolio hedging scenario Given SP ... View the full answer

Fundamentals of Investment Management

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