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What is the optimal number of contracts

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A fund manager would like to cross hedge an equity portfolio by taking a short position in S&P 500 index futures. The current futures price is 3,677.95 and the contract multiplier is $250. The portfolio's value is $19.00 million and the portfolio's beta is 1.83. The manager's target beta is 0.28.

What is the optimal number of contracts that should be used for hedging?

Reference no: EM132826109

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