14) The rate of return on a perfectly hedged portfolio should be equal to a) the risk-free rate b) the market rate of return c) zero d) the market premium 15) The futures price with one year delivery is F0=100, and the risk-free rate is r=4%. It follows that if the pure expectations hypothesis holds then the expected spot price E(ST) on delivery date should be a) $100 b) $104 c) greater than $100 d) less than $100 16) A company enters into a short futures contract to sell 50,000 units of a commodity for 70 cents per unit. The initial margin is $4,000 and the maintenance margin is $3,000. What is the futures price per unit above which there will be a margin call? a) 78 cents b) 76 cents c) 74 cents d) 72 cents 17) You sell one December futures contracts when the futures price is F0=$1,010 per unit. Each contract is on 100 units and the initial margin per contract is $2,000. The maintenance margin per contract is $1,500. During the next day the futures price rises to $1,012 per unit. What is the balance of your margin account at the end of the day? a) $1,800 b) $3,300 c) $2,200 d) $3,700