NO.PZ2019052801000027
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 0.8, how many S&P 500 contracts we need?
选项:
A.
long 160 contracts.
B.
short 160 contracts.
C.
long 1,600 contracts.
D.
short 1,600 contracts.
解释:
B is correct.
考点:Hedging With Stock Index Futures
解析:
where beta = 1.2, target beta = 0.8, A = 250 x 1,000, P = $100 million
为什么beta0.8时,需要long320份???不应该是short320份吗?