Exhibit 21.11 Use the Information Below for the Following Problem(S)

question 17

Multiple Choice

Exhibit 21.11
Use the Information Below for the Following Problem(S)
Consider a portfolio manager with a $10,000,000 equity portfolio under management. The manager wishes to hedge against a decline in share values using stock index futures. Currently a stock index future is priced at 1350 and has a multiplier of 250. The portfolio beta is 1.50.
-Refer to Exhibit 21.11.Calculate the overall profit.

• A) -$50,000
• B) -$150,000
• C) $50,000
• D) $150,000
• E) $550,000

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