This is the original title on page 407 of the 20 1 1 edition, but because there is a condition missing from Keng Dad's exercise book, there is another condition in the book: "βf is 1.25." The original question is "At present, the βs of a fund's stock portfolio is 1.2. If the fund manager predicts that the market will fall, he is prepared to reduce the βp of the portfolio to 0.8. Assuming that the spot market value is 1 100 million yuan, the Shanghai and Shenzhen 300 index is 3000 points, and βf is 1.25, how many contracts can he short in the futures market? " . This problem applies the formula of the number of contracts that need to be bought and sold to adjust the β value in Alpha arbitrage. The answer process on page 407 is clearly written.