SAT
SAT, 30.12.2021 14:00, SuBzErO24

A company has a $20 million portfolio with a beta of 1. 2. It would like to use futures contracts on a stock index to hedge its risk. The index futures is currently standing at 1080, and each contract is for delivery of $250 times the index. What is the hedge that minimizes risk? what should the company do if it wants to reduce the beta of the portfolio to 0. 6?.

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A company has a $20 million portfolio with a beta of 1. 2. It would like to use futures contracts on...

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