ANSWER QUESTION $4$: A fund manager has a portfolio worth $$75$ million. The beta of the portfolio is $1\mathrm{.}15.$ She plans to use $3-$month stock index futures contracts to hedge the risk over the next $2$ months. The current index level is $1300,$ the risk$-$free rate is $6\%$ per annum, and the dividend yield is $3\%$ per annum. The multiplier of the futures contract is $$250$ times the index and the current $3-$month futures price is $1315.$ How many futures contracts should the fund manager trade in$?$

A$.$ Sell $262$ contracts

B$.$ Sell $192$ contracts

C$.$ Sell $288$ contracts

D$.$ Sell $184$ contracts

E$.$ None of the above because fund manager should be buying contracts rather than selling them.

Correct answer is A$)262$ contracts: $3$ month futures price: $1315$

Beta of portfolio: $1\mathrm{.}15$

Number of future contracts$=($value of the portfolio "beta of the portfolio$)/($futures price$*$ futures contract size$)$

In the above problem, if the index in $2$ months is $1100$ and the $1-$month futures price is $1120,$ what is the value of the hedger's position $($portfolio value $+$ gains or loss in futures market$)?$

A$.$ $$79,776,269$

B$.$ $$77,349,692$