You Own a Portfolio Which Is Valued at $11,190,000 and Which

question 89

Multiple Choice

You own a portfolio which is valued at $11,190,000 and which has a beta of 1.43.You would like to create a riskless portfolio by hedging using S&P 500 futures contracts.The contract size is $250 times the index level.How many futures contracts do you need to acquire if the current S&P 500 index is 1730?

• A) short 28 contracts
• B) short 37 contracts
• C) long 28 contracts
• D) long 37 contracts
• E) short 43 contracts

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