问题如下:
A manager determines that the current level of excess cash is $20 million. She decides to purchase futures contracts to replicate the return on target stock and bond. Her target is:
60% is allocated to stock at average beta of 1.05 and 40% is allocated to bond at average duration of 5.2.
The price of an appropriate stock index futures contract is $250,000 and the beta is 0.98. The price of an appropriate bond futures contract is $110,000 and duration is 6.5. The manager should buy:
选项:
A.49 stock index futures contracts and 60 bond futures contracts.
B.51 stock index futures contracts and 58 bond futures contracts.
C.50 stock index futures contracts and 59 bond futures contracts.
解释:
B is correct.
解析:
从题目可知有$12million投资于股票,$8miilion投资于债券。因为现在为现金头寸,所以beta=0, duration=0。又目标Beta=1.05,目标duration=5.2,
所以应该买入51份股指期货合约,58份债券期货合约。
这道题是简化了,所以没有给conversion factor,是吗?