Question: 8. [Chapter 22] The S&P portfolio pays a dividend yield of 1% annually. Its current value is 1,300 . The T-bill rate is 4%. Suppose

$8. [Chapter 22] The S\&P portfolio pays a dividend yield of$

8. [Chapter 22] The S\&P portfolio pays a dividend yield of 1% annually. Its current value is 1,300 . The T-bill rate is 4%. Suppose the S\&P futures price for delivery in 1 year is 1,330 . Construct an arbitrage strategy to exploit the mispricing and show that your profits 1 year hence will equal the mispricing in the futures market

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