为什么是long呢？

NO.PZ2019052801000026

问题如下：

Suppose we have a well-diversified $100 million equity portfolio. The portfolio beta relative to the S&P 500 is 1.2. The current value of the 3-month S&P 500 Index is 1,000. The multiplier is 250. If we want to adjust the portfolio beta to 1.8, how many S&P 500 contracts we need?

选项：

long 200 contracts.

long 220 contracts.

long 280 contracts.

long 240 contracts.

解释：

D is correct.

考点：Hedging With Stock Index Futures

解析：

$(1.8-1.2)\frac{100,000,00}{1,000\times250}=0.6\times400=240$

where beta = 1.2, target beta = 1.8, A = 250 x 1,000, P = $100 million

we have a well-diversified $100 million equity portfolio. 担心股票下跌对吗？担心——发生收益的hedge，是这样吗？为什么不是short 240, 而是long呢？

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1 个答案

DD仔_品职助教 · 2024年02月06日

嗨，爱思考的PZer你好：

目前的beta是1.2，目标beta是1.8，只有long stock可以达到这个目的

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2019052801000026问题如下Suppose we have a well-versifie$100 million equity portfolio. The portfolio beta relative to the S P 500 is 1.2. The current value of the 3-month S P 500 Inx is 1,000. The multiplier is 250. If we want to aust the portfolio beta to 1.8, how many S P 500 contracts we neeA.long 200 contracts.B.long 220 contracts.C.long 280 contracts.long 240 contracts.is correct.考点Heing With StoInx Futures解析(1.8−1.2)100,000,001,000×250=0.6×400=240(1.8-1.2)\frac{100,000,00}{1,000\times250}=0.6\times400=240(1.8−1.2)1,000×250100,000,00=0.6×400=240where beta = 1.2, target beta = 1.8, A = 250 x 1,000, P = $100 million稍微较个真，贝塔数学角度理解就是因变量相对于某个自变量单位变化的变动，按道理不管咋弄因变量还是那个熟悉，贝塔不会变呀。

2024-04-11 00:37 1 · 回答

NO.PZ2019052801000026问题如下 Suppose we have a well-versifie$100 million equity portfolio. The portfolio beta relative to the S P 500 is 1.2. The current value of the 3-month S P 500 Inx is 1,000. The multiplier is 250. If we want to aust the portfolio beta to 1.8, how many S P 500 contracts we neeA.long 200 contracts.B.long 220 contracts.C.long 280 contracts.long 240 contracts.is correct.考点Heing With StoInx Futures解析(1.8−1.2)100,000,001,000×250=0.6×400=240(1.8-1.2)\frac{100,000,00}{1,000\times250}=0.6\times400=240(1.8−1.2)1,000×250100,000,00=0.6×400=240where beta = 1.2, target beta = 1.8, A = 250 x 1,000, P = $100 million还是long或者short这个方向搞不懂。如果我先计算beta1.2的时候，需要short480份，再计算beta01.2，需要short720份，从-480到-720，不是应该short160吗？老师我这个算法和思路是错误的吗？

2024-02-19 10:42 1 · 回答

NO.PZ2019052801000026 long 220 contracts. long 280 contracts. long 240 contracts. is correct. 考点Heing With StoInx Futures 解析 (1.8−1.2)100,000,001,000×250=0.6×400=240(1.8-1.2)\frac{100,000,00}{1,000\times250}=0.6\times400=240(1.8−1.2)1,000×250100,000,00=0.6×400=240 where beta = 1.2, target beta = 1.8, A = 250 x 1,000, P = $100 million 这个就是1.8—1.2。全面一道题是1.1—0.75 什么情况下beta在前面。什么情况下要在计算时就把负号加进去

2022-02-12 20:33 1 · 回答

答案看不见，新系统不兼容吗？

2019-11-03 07:39 1 · 回答

为什么是long呢？

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