Expected cash flow at futures maturity

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Consider an investor with the following portfolio: (1) short position in stock F, (2) an investment of proceeds from sale of stock F in a risk-free bond maturing on the day stock F should be returned to its owner, (3) a short position in a futures contract with stock F as underlying that expires on the same date when stock F should be returned to the owner. If the futures contract is priced fairly, the expected cash flow at futures maturity is $0.

Is the above statement True or False? Give explanations.

Reference no: EM133057458

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