A portfolio manager eliminates the systematic risk of his stock portfolio over the next month using futures on the S&P 500 index. What return does the manager expect on the hedged portfolio over the next month?

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 25P
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A portfolio manager eliminates the systematic risk of his stock portfolio over the next month using futures on the S&P 500 index. What return does the manager expect on the hedged portfolio over the next month?

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