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Practicing conceptHedging· 7 questions

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Derivatives & Risk
Hedging · Beta Hedge
Medium

Beta-Neutral Futures Hedge

You hold a million portfolio with market beta 1.2. A futures contract provides of market exposure and has beta 1. Approximately how many futures contracts should you short to make the portfolio beta-neutral?

Quant interview-style problem · QS-T008

Think first. Use hints deliberately. Study the reasoning only when you need it.