Exhibit 15.11 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM As a portfolio manager, you are responsible for a $150 million portfolio, 90 percent of which is invested in equities, with a portfolio beta of 1.25. You are utilizing the S&P 500 as your passive benchmark. Currently the S&P 500 is valued at 1,202. The value of the S&P 500 futures contract is equal to $250 times the value of the index. The beta of the futures contract is 1.0.

Refer to Exhibit 15.11. How many contracts should you buy or sell in order to increase the portfolio beta to 1.30 (rounded to the nearest integer)?

a. buy 87 contracts

b. sell 70 contracts

c. buy 98 contracts

d. buy 70 contracts

e. sell 67 contracts