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4. Consider the following portfolio and revise it with futures contracts.
Stock 8,000,000
Bonds 4,000,000
Cash 2, 000 000
Total 14,000,000
S&P 500 index futures = 4060 with multiplier of 250. You decide to go short 5 stock futures contracts.
Treasury bonds futures are priced at 125-24. You decide to go long 12 Treasury bond futures contracts.
T. bond futures are based on $100,000 par value.
PortfolioCurrent WeightFutures PositionRevised PortfolioRevised Weights
Stock=8 mil
Bonds=4 mil
Cash=2 mil
Total 14 mil
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