Question
Based on the information below, what position and number of Index Futures contracts are needed to increase the Beta ( ) of the portfolio from
Based on the information below, what position and number of Index Futures contracts are needed to increase the Beta (
) of the portfolio from 0.8 to 2.2?
| Value of portfolio | P | $50,000 |
| Value of assets (index) underlying one Index Futures contract (= future price * contract size) | A | $2000 |
Beta  of portfolio |  | 0.8 |
A) Short 20 contracts of Index Futures (B) Short 55 contracts of Index Futures (C) Long 35 contracts of Index Futures (D) None of the above
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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
