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12. For the data in Example 3.9, fill the table again when, instead of 30, (a) 20, (b) 40 futures contracts are shorted. Example 3.9 A stock index tracks changes in the value of a hypothetical portfolio of stocks. Futures contracts on stock indices are settled in cash. Example 3.9 (continued) The beta of a portfolio is defined by Bv=PvMO/OM and it satisfies (Capital Asset Pricing Model) B=(Mv-rp)/(um-rp). Example 3.9 (continued) We assume now: Value of S&P500 index: 1000 Value of portfolio: 5,000,000 Risk-free interest rate: r=4% p.a. Dividend yield on index: 1% p.a. Beta of portfolio: B=1.5 = One futures contract is $1010 and for delivery of 250 times the index 12. For the data in Example 3.9, fill the table again when, instead of 30, (a) 20, (b) 40 futures contracts are shorted. Example 3.9 A stock index tracks changes in the value of a hypothetical portfolio of stocks. Futures contracts on stock indices are settled in cash. Example 3.9 (continued) The beta of a portfolio is defined by Bv=PvMO/OM and it satisfies (Capital Asset Pricing Model) B=(Mv-rp)/(um-rp). Example 3.9 (continued) We assume now: Value of S&P500 index: 1000 Value of portfolio: 5,000,000 Risk-free interest rate: r=4% p.a. Dividend yield on index: 1% p.a. Beta of portfolio: B=1.5 = One futures contract is $1010 and for delivery of 250 times the index