Multiple Choice
Assume that you manage a $2 million portfolio that pays no dividends,has a beta of 1.25 and an alpha of 2% per month.Also,assume that the risk-free rate is 0.05% (per month) and the S&P 500 is at 1300.If you expect the market to fall within the next 30 days you can hedge your portfolio by ______ S&P 500 futures contracts (the futures contract has a multiplier of $250) .
A) selling 1
B) selling 8
C) buying 1
D) buying 8
E) selling 6
Correct Answer:
Verified
Correct Answer:
Verified
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