NO.PZ2018113001000006
问题如下:
In order to equitize $500 million in cash for a one-month period, the manager could:
选项:
A.Short risk-free bond and long futures
B.Short stock and long risk-free bond
C.Long risk-free bond and long equity futures
解释:
C is correct.
考点:synthetic index fund
解析:
根据公式:买入股票=买入无风险资产+买入期货
通过long bond and futures 可以将现金头寸变成股票的头寸,即 equitize cash。
老师请问,这一题可以从put call parity角度思考吗?C+K=P+S