NO.PZ2018113001000002
问题如下:
The equity portfolio has a market value of $10,000,000, The fund plans to use a futures contract priced at $125,000 in order to decrease the beta from 1.2 to zero for the period of two months. The futures contract has a beta of 0.95. The number of futures contracts needed to be sold is:
选项:
A.95
B.123
C.101
解释:
C is correct.
考点:用futures合约调整beta
解析:
需要的futures contracts数量为:
Nf=(betaT-betaS)/(betaS)×(S/f)=(0-1.20)/0.95×(10,000,000/125,000)=-101.05
四舍五入之后为-101,因此应该卖出101份期货合约。
四舍五入不应该是102份嘛