Fund manager managing portfolio worth

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Suppose you are a fund manager managing a portfolio worth $10million with Beta equal 1.2. The index futures price is 1000 and each future contracts is on $50 times the index. If you want to keep the value of the portfolio stable without selling the portfolio in the next two months, what is your hedging strategy? In the maturity date, the index is 1050, please show the success of your strategy. The risk-free interest rate is 5% per annum (continuously compounded).

Reference no: EM132020460

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