The portfolio manager of an equity fund would like to eliminate all market exposure (a...
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Accounting
The portfolio manager of an equity fund would like to eliminate all market exposure (a zero-beta portfolio). Consider the following information: Portfolio value 125 million Beta of portfolio 1.20 Beta of futures contracts 1.40 Futures contract size 250 CAC40 (Index) 3380
Calculate the number of futures contracts required to construct a zero-beta portfolio. Number of futures contracts:
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