Suppose you manage a $6 million portfolio. Assume that = 1.50, = 1%, T is 1 year, and S0= 2,200. Note that the S&P E-Mini contract multiplier is $50.

a) You are worried that the market might fall after one year. How many one-year S&P E-Mini futures contracts do you need to hedge your portfolio?

b) To hedge your risk exposure, should you hold a long position or a short position in the futures contracts?