Question about the 2009 practice exam 2, question 1.

FRM
#1

The answer is B. However, I don’t think this is the right answer. My calculation is as follows:

Assuming we should buy x contracts,

300100000*1.1/(300100000+x*250*1457)+x*250*1457/(300100000+x*250*1457)=0.75.

That is, x=-1153.

It will be grateful if anyone could point out my mistake in calculation.

#2

Thanks for your reply. I just wonder whether the portfolio value keeps unchanged after trading the future contracts. It seems that the value of the portfolio is exactly the same on both sides of the equation you provide above.