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华赞 · 2024年10月15日

对应章节

  1. FRM I
  2. Financial Markets And Products

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：

该知识点对应学习内容以及公式在哪

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1 个答案

pzqa27 · 2024年10月15日

嗨，从没放弃的小努力你好：


用到的是下图所示的内容，就是使用期货合约把组合的beta对冲到特定的值，这里直接带公式计算即可。

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