If the risk-free rate is 4%, market risk premium is 6% and you are interested in a cocoa futures contract with beta of cocoa being -0.291,

a. What is the required annual rate of return on the cocoa contract ?

b. You plan to hold the contract for 3 months only, and take its delivery. At that time you expect the spot price of cocoa will be $900 per ton. What is the present value of this three-month deferred claim ?

c. What should be the proper price of this contract ?