You Own a Portfolio Which Is Valued at $6

question 86

Multiple Choice

You own a portfolio which is valued at $6.4 million and which has a beta of 1.27.You would like to create a riskless portfolio by hedging with S&P 500 futures contracts.The contract size is $250 times the index level.How many futures contracts are needed if the current S&P 500 index is 1406?

• A) short 16 contracts
• B) short 18 contracts
• C) short 23 contracts
• D) long 18 contracts
• E) long 23 contracts

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