问题如下图:
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解释:
第一次调整已经卖出了70份股指期货合约调成现金了beta是0,第二次为什么还用股指期货的beta-原来合约的beta而不是-现金的beta 0?NO.PZ2018113001000010问题如下 The portfolio ha market value of $100 million. The initistoallocation is 60% . The initibeta is 1.10.A portfolio manager wants to alter stoallocation to 50% for two months.A stoinx futures contrathexpires in two months is price$150,000 anha beta of 1.05. In orr to achieve this objectives, the manager shou A.sell 48 stofutures contracts B.sell 70 stofutures contracts C.sell 118 stofutures contracts B is correct.考点调整头寸解析现在股票头寸=0.6(100,000,000)= $60,000,000目标股票头寸=0.5(100,000,000)= $50,000,000为了达到目标,需要减少10,000,000股票需要的股票期货合约(转成cash)Nsf=(0.0−1.101.05)(10,000,000150,000)=−69.84N_{\text{s}f}={(\frac{0.0-1.10}{1.05})}{(\frac{10,000,000}{150,000})}=-69.84Nsf=(1.050.0−1.10)(150,00010,000,000)=−69.84因此需要卖出70份股票期货合约。答案公司中用10million除以150000 不是60million么
您好,第二步卖出48份股指期货合约,不是会造成股票头寸又减少了,与第一个目标不是冲突了吗?