We have considered how index futures may be used to neutralize a stock portfolio with respect to
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We have considered how index futures may be used to neutralize a stock portfolio with respect to systematic risk. However, we may also wish to change the portfolio beta, rather than setting it to zero. Let be the target beta that we want to achieve, which may be smaller or larger than the current portfolio , depending on our strategy. Find the number of futures contracts that we should use.
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Related Book For
An Introduction To Financial Markets A Quantitative Approach
ISBN: 9781118014776
1st Edition
Authors: Paolo Brandimarte
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