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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Question Posted: Dec 31, 2023 11:02 AM

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You manage a $100 million stock portfolio with a beta of .8. Given a contract size of

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The answer is c 800 Heres how we can calculate the number of contracts needed to hedge your portfoli...View the full answer

Fundamentals Of Investments Valuation And Management

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