A Company Has a $36 Million Portfolio with a Beta

question 5

Multiple Choice

A company has a $36 million portfolio with a beta of 1.2.The futures price for a contract on an index is 900.Futures contracts on $250 times the index can be traded.What trade is necessary to increase beta to 1.8?

• A) Long 192 contracts
• B) Short 192 contracts
• C) Long 96 contracts
• D) Short 96 contracts

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