What is the parity value of the futures price

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Reference no: EM132015341

che S&P 500 Index is currently at 2,000. You manage a $19 million indexed equity portfolio. The S&P 500 futures contract has a multiplier of $250. a. If you are temporarily bearish on the stock market, how many contracts should you sell to fully eliminate your exposure over the next six months? Number of contracts b. If T-bills pay 4.0% per six months and the semiannual dividend yield is 1.8%, what is the parity value of the futures price?

Reference no: EM132015341

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