NO.PZ2020012001000038
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
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?
