薛真 · 2020年03月09日
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 many contracts are necessary to hedge the market risk of the portfolio? Should long or short contracts be used?
选项：
解释：
The number of contracts that should be shorted is
1.5 *1,000,000/(50 * 3,000)= 10
β是1.5，是不是现货涨1%，期货涨1.5%？
NO.PZ2020012001000038 问题如下 A company ha portfolio of stocks worth 1 million llars with a beta of 1.5. inx futures priis currently 3,000, aneacontrais for livery of 50 times the inx. How many contracts are necessary to hee the market risk of the portfolio? Shoullong or short contracts use The number of contracts thshoulshorteis 1.5 *1,000,000/(50 * 3,000)= 10 老师好，请问eacontrais for livery of 50 times the inx是什么意思，是指乘数是50吗？谢谢
NO.PZ2020012001000038 A company ha portfolio of stocks worth 1 million llars with a beta of 1.5. inx futures priis currently 3,000, aneacontrais for livery of 50 times the inx. How many contracts are necessary to hee the market risk of the portfolio? Shoullong or short contracts use
