Question: Question 2 Part A (5 marks) It is 16 July. A US company has a portfolio of stocks worth USD 100 million. The beta of

Question 2 Part A (5 marks) It is 16 July. A

Question 2 Part A (5 marks) It is 16 July. A US company has a portfolio of stocks worth USD 100 million. The beta of the portfolio is 1.5. The company would like to use the Chicago Mercantile Exchange (CME) December futures contract on the S&P 500 to change the beta of the portfolio to 2.5 during the period 16 July to 16 November. The index futures price is 1,000 and each contract is on USD 250 times the index. What position (i.e. long/short and the number of contracts) should the company take

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