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A portfolio manager knows that a $10 million inflow of cash will be received in a month. The portfolio under management is 70% invested in stock with an average beta of 0.8 and 30% invested in bonds with a duration of 5. The most appropriate stock index futures contract has a price of $233,450 and a beta of 1.1. The most appropriate bond index futures has a duration of 6 and a price of $99,500. How can the manager pre-invest the $10 million in the appropriate proportions? Take a: A. short position in 25 of the bond futures and 22 of the stock futures. B. long position in 25 of the stock futures and 28 of the bond futures. C. long position in 22 of the stock futures and 25 of the bond futures. |