为什么不是卖26份

问题如下：

The equity portfolio has a market value of $10,000,000, The pension fund plans to use a futures contract priced at $125,000 to decrease the beta from 1.2 to 0.9 for the period of two months. The futures contract has a beta of 0.95. The number of futures contracts needed to be sold is:

选项：

A.

32

B.

20

C.

25

解释：

C is correct.

考点：用futures合约调整beta

解析：

需要的futures contracts数量为：

$N_f=(\frac{\beta_T-\beta_S}{\beta_S})(\frac Sf)=(\frac{0.90-1.20}{0.95})(\frac{10,000,000}{125,000})=-25.26$

四舍五入之后为-25，因此应该卖出25份期货合约。