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toffee · 2023年05月20日

我觉得答案是不是有点过于复杂

  1. CFA III
  2. Derivative

NO.PZ2018113001000079

问题如下：

Herbert is a portfolio manager for a trust fund, which holds stocks and bonds in its portfolio.

Herbert expects interest rates to decrease, so he wants to use equity index and bond futures to adjust current asset allocations. Exhibit 1 shows the current and target asset allocations. Exhibit 2 shows selected data on the portfolio and the relevant futures contracts.

How many futures contracts should Herbert buy or sell to achieve the desired asset allocation?



选项：

解释：

Answer:

Herbert needs to reduce the equity allocation by $15,000,000 = $65,000,000-$50,000,000

The number of equity index futures contracts required:

Nf=βT−βSβf×Sf=0−1.21×15,000,00030,000=−600N_f=\frac{\beta_T-\beta_S}{\beta_f}\times\frac Sf=\frac{0-1.2}1\times\frac{15,000,000}{30,000}=-600

Herbert should sell 600 equity index futures contracts.

Herbert needs to increase the bond allocation by $15,000,000 = $50,000,000-$35,000,000

BPVHR=BPVT−BPVPBPVCTD×CFBPVHR=\frac{BPV_T-BPV_P}{BPV_{CTD}}\times CF

BPVT=4.5×0.0001×15,000,000=6,750BPV_T=4.5\times0.0001\times15,000,000=6,750

BPVHR=BPVT−BPVPBPVCTD×CF=6750−090×0.75=56.25BPVHR=\frac{BPV_T-BPV_P}{BPV_{CTD}}\times CF=\frac{6750-0}{90}\times0.75=56.25

Herbert should buy 56 bond futures contracts (after rounding)

中文解析：

本题考察的是使用股指期货合约和债券期货合约进行资产配置。

根据题干的意思可知，现在想要降低股票在组合中的占比，增加债券在组合中的占比。

因此第一步是通过卖出股指期货合约来降低股票头寸，第二步再通过买入债券期货合约来增加债券头寸。具体合约的份数按照上述公式计算即可。

考试时间根本不够，这样写就可以了吧？

to achieve target asset allocation，we should reduce $15000000 stock and increase $15000000 bonds

N(f)=(0-1.2)x15000000/30000=-600

N(f)=(4.5x0.0001x15000000/90)*0.75=56

short 600 equity index futures 

long 56 bond futures 

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1 个答案

pzqa31 · 2023年05月21日

嗨，从没放弃的小努力你好：


原版书后题答案只是详细解释，不是作为主观题答案，考试不用写这么多，结论+证据+解释就可以了，但是要写完整句子，不能只写单词。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2018113001000079问题如下 Herbert is a portfolio manager for a trust fun whihol stocks anon in its portfolio.Herbert expects interest rates to crease, sohe wants to use equity inx anbonfutures to aust current assetallocations. Exhibit 1 shows the current antarget asset allocations. Exhibit2 shows selecteta on the portfolio anthe relevant futures contracts.How many futures contracts shoulHerbertbuy or sell to achieve the sireasset allocation? Answer:Herbert nee to rethe equity allocation $15,000,000 = $65,000,000-$50,000,000The number of equity inx futures contracts requireNf=βT−βSβf×Sf=0−1.21×15,000,00030,000=−600N_f=\frac{\beta_T-\beta_S}{\beta_f}\times\frSf=\frac{0-1.2}1\times\frac{15,000,000}{30,000}=-600Nf​=βf​βT​−βS​​×fS​=10−1.2​×30,00015,000,000​=−600Herbert shoulsell 600 equity inx futures contracts.Herbert nee to increase the bonallocation $15,000,000 = $50,000,000-$35,000,000BPVHR=BPVT−BPVPBPVCTCFBPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CFBPVHR=BPVCTBPVT​−BPVP​​×CFBPVT=4.5×0.0001×15,000,000=6,750BPV_T=4.5\times0.0001\times15,000,000=6,750BPVT​=4.5×0.0001×15,000,000=6,750BPVHR=BPVT−BPVPBPVCTCF=6750−090×0.75=56.25BPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{6750-0}{90}\times0.75=56.25BPVHR=BPVCTBPVT​−BPVP​​×CF=906750−0​×0.75=56.25Herbert shoulbuy 56 bonfutures contracts (after rounng) 中文解析本题考察的是使用股指期货合约和债券期货合约进行资产配置。根据题干的意思可知，现在想要降低股票在组合中的占比，增加债券在组合中的占比。因此第一步是通过卖出股指期货合约来降低股票头寸，第二步再通过买入债券期货合约来增加债券头寸。具体合约的份数按照上述公式计算即可。 因为股票要减少，所以S要不要带人负数

2022-11-27 18:12 1 · 回答

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2022-11-24 16:01 1 · 回答