[問題] 想請問一個風險相關的問題
It is July 16,
A company has a portfolio of stocks worth $100 million.
The beta of the portfolio is 1.2.
The company would like to use the CME Dec. futures
contract on the S&P 500 to change the beta of the
portfolio to 0.5 during the period July 16 to Nov. 16.
The index is currently 1,000, and each contract is on
$250 times the index.
a)what position should be company take?
b)suppose that the company changes its mind and decides
to increase the beta of the portfolio from 1.2 to 1.5.
What position in futures contracts should it take?
thank you!
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