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Business, 02.03.2020 21:16 andrew763

A company has a portfolio of stocks worth $100 million. the beta of the porfolio is 1.2. the company would like to use the CME december futures contract on the s&p 500 to change the beta of the portfolio to 0.5 during the period July 16 to November 16. the index future price is currently 1,00 and each contract is $250 times the index

a. what position should the company take long or short, how many contracts?

b. suppose the company changes its mind and decided to increast the beta of the portfolio from 1.2 to 1.5. what postion in the futures contrachs should it take, how many contracts?

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A company has a portfolio of stocks worth $100 million. the beta of the porfolio is 1.2. the company...
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