SECTION 2.2 WHERE; NP = NOTIONAL PRINCIPAL B = BOND PORTFOLIO MDURT...

4.) Will Lehigh's purchase of US large-cap futures contracts most likely result in the

committee's beta objective for the US large-cap investment being attained?

A. No, because the beta will be above the target

B. Yes

C. No, because the beta will be below the target

Answer = C

“Risk Management Application of Option Strategies,” Don M. Chance