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
Correct Answer:
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