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A portfolio manager has a $15 million mid-cap portfolio that has a beta of 1.3 relative to the S&P 400. S&P 500 futures are trading at 1,150 and have a multiplier of 250. The most significant risk this manager faces in attempting to hedge his position is: A. basis risk resulting from a cross-hedge. B. correlation risk resulting from a rollover of positions between the S&P 400 and S&P 500. C. volatility risk arising from unstable correlation predictions. D. improper profit forecasts of the underlying position. |