NO.PZ201601050100001703
问题如下:
The number of S&P 500 futures contracts that Whitacre should buy to equitize
Portfolio B’s excess cash position is closest to:
选项:
A.
6.
B.
121.
C.
1,455.
解释:
A is correct.
The number of equity index futures contracts to purchase in order
to equitize Monatize’s excess cash position is calculated as follows:
The actual futures contract purchase value of $825,000 is the product of the
quoted S&P 500 futures price of 3,300 and the designated multiplier of $250 per
index point.
中文解析:
根据题干意思可知,需要把多余的现金$4,800,000等效为持有标普500指数,因此需要将这部分cash的β调整到和标普500指数的β相同的数值。
其中标普500指数的β=1.cash的β=0. 因此βT =1.βP =0,带入上述公式就算结果为5.82份,四舍五入取整数为6份。
因此需要买入6份股指期货合约。
为什么futures 的价格还要✖️250呀,不是3300吗