Suppose the S&P currently has a level of 1000. The continuously compound return on a 1-year T-bill is 4%. You wish to hedge a $5.000.000 portfolio that has a beta of 1,5 and a correlation of 1.0 with the S&P 500. The index pays dividends of 1% per annum. The current future price (F) on the S&P is 1010. A) How many S&P 500 futures contracts should you short to hedge your portfolio? What return do you expect on the hedged portfolio when in three months a) S&P 500 =900, F=902 b) S&P 500 = 950, F = 952 c) S&P 500 = 1000, F = 1003 d) S&P 500 = 1050, F = 1053. T=3 months