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What option position is required if the portfolio has a beta

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Reference no: EM132491725

A portfolio manager in charge of a portfolio worth $10 million is concerned that the market might decline rapidly during the next six months and would like to use put options on an index to provide protection against the portfolio falling below $9.5 million. The index is currently standing at 500 and each contract is on 100 times the index. What option position is required if the portfolio has a beta of 0.5?

Reference no: EM132491725

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