You believe interest rates are going to increase, and you want to structure your porfolio

to exploit this forecast. You have decided to set the omega of your entire portfolio

to $2\mathrm{.}00\%,$ which is less than that of the benchmark.

Currently, you are managing $100$ million dollars. You have decided to keep $50$ million

dollars in the benchmark. The remaining money you will allocate to securities A and

B in such a way to achieve your omega target.

How should you structure your portfolio? Your answer should contain a table that

looks like:

ID Number of Units

A

B

C

D

E

F

Be sure to indicate clearly whether a position is long or short. $($You may indicate a

short position using a negative value for the number of units.$)$