EXAMPLE 12.11: FRM EXAM 2004—QUESTION 55
A fund manager has a USD 100 million portfolio with a beta of 0.75. The
manager has bullish expectations for the next couple of months and plans to
use futures contracts on the S&P 500 to increase the portfolio’s beta to 1.8.
Given the following information, which strategy should the fund manager
follow? The current level of the S&P index is 1250; each S&P futures contract
delivers USD 250 times the index; and the risk-free interest rate is 6% per
annum.
a. Enter into a long position of 323 S&P futures contracts.
b. Enter into a long position of 336 S&P futures contracts.
c. Enter into a long position of 480 S&P futures contracts.
d. Enter into a short position of 240 S&P futures contracts.

本题给出的答案是b，但是我觉得应该用weighted average来算，答案为d，请指教！