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Business, 03.08.2019 00:10 ultimatesaiyan

You manage a $15 million hedge fund portfolio with beta = 1.2 and alpha = 2% per quarter. assume the risk-free rate is 2% per quarter and the current value of the s& p 500 index is 1,200. you want to exploit the positive alpha, but you are afraid that the stock market may fall and you want to hedge your portfolio by selling 3-month s& p 500 future contracts. the s& p contract multiplier is $250. when you hedge your stock portfolio with futures contracts, the value of your portfolio beta is

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