Modern portfolio managers mpm hold a 80 million dollar


Question: Modern Portfolio Managers (MPM) hold a 8.0 million dollar portfolio of stocks with a beta of 1.3 measured with respect to the S&P 500 index. The current value of a futures contract on the index is 1087. 8. The multiplier on the futures equals $250. If MPM wishes to increase its systematic risk in its portfolio to 2. 1, how many contracts must it buy or sell?

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