You currently have $63,000,000 in a stock portfolio with a beta of 1.20. Expecting stocks to...

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You currently have $63,000,000 in a stock portfolio with a beta of 1.20. Expecting stocks to do very poorly over the next three months, you decide to REDUCE your beta to 0.80. There exists a futures contract on 50 "shares" of the S&P 500 with a beta of 1.00 and a price of $4,200 per share. Design a strategy that will achieve the desired change in equity market exposure. You currently have $63,000,000 in a stock portfolio with a beta of 1.20. Expecting stocks to do very poorly over the next three months, you decide to REDUCE your beta to 0.80. There exists a futures contract on 50 "shares" of the S&P 500 with a beta of 1.00 and a price of $4,200 per share. Design a strategy that will achieve the desired change in equity market exposure.

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To achieve the desired change in equity market exposure by reducing the beta from 120 to 080 we need ... View the full answer