Question: Consider the data given in Problem 12.11 for futures contracts on SINDY index. Suppose you have to pay transaction costs: (1) When you go long

Consider the data given in Problem 12.11 for futures contracts on SINDY index. Suppose you have to pay transaction costs: (1) When you go long or sell short a portfolio of stocks, transactions costs (brokerage fees plus the price impact of the trade) equal 10 basis points of the synthetic index’s price. (2) There is a one- time fee of $15 for trading forward contracts but no charges for trading bonds. If the forward price is F = $10,231, show how you can make arbitrage profits or explain why you cannot.

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