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Business, 05.12.2019 07:31 genyjoannerubiera

Suppose you manage a \$12 million portfolio, currently all invested in equities, and you believe that the market is on the verge of a big, but short-lived, downturn. you could move your portfolio temporarily into t-bills, but you do not want to incur the tax and transaction costs of selling your stocks and re-buying them. instead, you decide to temporarily hedge your equity holdings with s\& p 500 index futures contracts1) should you be long or short the contracts? why? 2) how many contracts should you enter into? the s& p 500 index futures price is now at 1286 and the contract multiplier is $250. 3) suppose instead of reducing your portfolio beta all the way down to zero, you decide to reduce it to 0.5, how many index futures contracts should you enter into?

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Suppose you manage a \$12 million portfolio, currently all invested in equities, and you believe tha...
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