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2. Suppose the current stock index is S0=2000, the current future price for on month delivery of the stock index is F0=2200, and the T-bill

2. Suppose the current stock index is S0=2000, the current future price for on month delivery of the stock index is F0=2200, and the T-bill rate is 2.5% per month. Use stock index futures contracts and T-bills, construct a portfolio to invest $150M in the market portfolio for one month. (provide the whole process of calculation)

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