Systematic risk in the portfolio


A company has $30 million portfolio with a beta of 1.5. The futures price for a contract on the S&P index is 900. Futures contracts on $250 times the index can be traded. What trade is necessary to archive(a) eliminate all systematic risk in the portfolio,(b) reduce the beta to 1.0, or(c) increase beta to 2.0.

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Finance Basics: Systematic risk in the portfolio
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