Determine the appropriate strategy

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Reference no: EM131513361

A manager of a $10 million of large-cap equities would like to shift 25% of the position to mid-cap equities. The beta of the large-cap position is 0.8, and the average beta of mid-cap stocks is 1.2. The betas of the corresponding large and mid-cap futures contracts are 0.75 and 1.25 respectively. the large- and mid-cap total futures prices are $9,800 and $240,000, respectively. Determine the appropriate strategy.

Reference no: EM131513361

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