NO.PZ2016082404000024
问题如下:
You have a portfolio of USD 5 million to be hedged using index futures. The correlation coefficient between the portfolio and futures being used is 0.65. The standard deviation of the portfolio is 7% and that of the hedging instrument is 6%. The futures price of the index futures is USD 1,500 and one contract size is 100 futures. Among the following positions, which one reduces risk the most?
选项: Long 33 futures contracts
Short 33 futures contracts
C.Long 25 futures contracts
D.Short 25 futures contracts
解释:
ANSWER: D
To hedge, the portfolio manager should sell index futures, to create a profit if the portfolio loses value. The portfolio beta is The number of contracts is or 25 contracts.
为什么0.758是portfolio的beta呢,这不应该是hedge ratio 吗,原portfolio的beta应该和对冲工具没有关系啊,谢谢