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You want to hedge against your portfolio value declining more than 10% in 1 year. Currently, the S&P500 is standing at 2,000 and your portfolio has a beta of 1.6. You need to purchase 1-yr S&P500 put options. Find the exercise price of the index put option. Assume riskfree rate and dividend yield are 0%. (margin of error: +/- 20)

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91825640

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