问一道题：NO.PZ2018113001000044

问题如下：

A manager has an equity portfolio with market value of $20,000,000. She wants to decrease the beta from 1.15 to 0.95 by using stock index futures contract. The futures contract is priced at $250,000 with a beta of 0.98. To achieve the target beta, the manager needs to:

选项：

buy 16 futures contract.

sell 17 futures contract.

sell 16 futures contract.

解释：

C is correct.

考点：用futures调beta

解析：

$N_f=(\frac{\beta_T-\beta_S}{\beta_S})(\frac Sf)=(\frac{0.95-1.15}{0.98})(\frac{\$20,000,000}{\$250,000})=-16.33$

应该卖16份合约。