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pengyaning · 2023年10月19日

求此道题目的解析,谢谢!

NO.PZ2023091802000041

问题如下:

You manage a US equity portfolio with the following characteristics:

Fears of a declining economy prompt you to reduce your market exposure, and you want to lower your beta to 0.8 for the next six months using S&P futures. If the 6-month S&P futures is at 2,000 and each contract is for USD 250 times the index value, which position will reduce your portfolio’s beta to 0.8?

选项:

A.

Short 12 futures contracts

B.

Short 14 futures contracts

C.

Long 12 futures contracts

D.

Long 14 futures contracts

解释:

求此道题目的解析,谢谢!

1 个答案

品职答疑小助手雍 · 2023年10月20日

同学你好,这题直接套讲义公式即可(0.8-2)*5,000,000/(250*1*2000) = -12。