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12345678wdv · 2024年02月21日

0.9 1.8 是 target beta 的数值

NO.PZ2020012001000039

问题如下:

A company has a portfolio of stocks worth 1 million dollars with a beta of 1.5. An index futures price is currently at 3,000, and each contract is for delivery of 50 times the index.

How can beta be reduced to 0.9? How can it be increased to 1.8?

选项:

解释:

To reduce beta to 0.9 the number of contracts that should be shorted is

(1.5 - 0.9) *1,000,000/(50 * 3,000)= 4

To increase beta to 1.8 the number long contracts required is

(1.8 - 1.5) *1,000,000/ (50 * 3,000)= 2

0.9 1.8 是 target beta 的数值

1 个答案

DD仔_品职助教 · 2024年02月22日

嗨,努力学习的PZer你好:


同学你好,

是的呀,0.9和1.8都是target beta

若target beta小于原本的beta,我们short (原beta-target beta)*P/A

若target beta大于原本的beta,我们long(target beta-原beta)*P/A

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