Stuck on a finance question
b)A mutual fund manages a portfolio with market value $100M. This portfolio has an expected return equal to 24%. If the risk premium on the market portfolio of risky assets is 10% what is the beta of the managed portfolio?
c)The mutual fund manager seeks reduce the beta of her portfolio to 0.5. Find the number of futures contracts required if the return on the index underlying the futures is perfectly correlated with the return on the market portfolio of risky assets?
To solve current value i went
fwd price = current price * e^(risk-free rate-dividend rate)
So 110 = current price * e^(0.08-0.03)
So 110 = current price * e^(0.05)
so 110 = current price * 1.051271096
110/1.051271096 = 104.6352367
to get the beta I went
Exp return = risk free rate + beta(risk premium for risky assets)
so
0.24=0.08 + B(0.1)
B = 1.6
But i can't get C...
I've got the current value as 104.6352367
The futures value of the index is 110
the beta right now is 1.6
risk-free rate is 8%
Size of the contract is 500 times the index
dividend yield is 3%
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