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3. You manage an equity portfolio worth $100,000,000. The correlation between the monthly returns of your portfolio and
Posted: Mon Apr 25, 2022 8:30 am
by answerhappygod
- 3 You Manage An Equity Portfolio Worth 100 000 000 The Correlation Between The Monthly Returns Of Your Portfolio And 1 (15.5 KiB) Viewed 17 times
3. You manage an equity portfolio worth $100,000,000. The correlation between the monthly returns of your portfolio and the monthly returns on a broad equity market index is 0.80, and the monthly variance of your portfolio's returns is expected to be four times that of the market returns. If each index futures contract is a bet on a notional principle of $500,000, what futures position should you take to eliminate half of your portfolio's systematic risk over the course of the following month?