You hold a stock portfolio worth $20 million with a beta of 1.63. You would like to lower the beta to 0.95 using S&P 500 futures, which have a price of 475.8 and a multiplier of 250. What transaction should you do? Round off to the nearest whole contract.

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SOLUTION To lower the portfolio beta from 163 to 095 using SP 500 futures we need to calculate the n... View the full answer