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小王爱学习 · 2022年02月12日

这个也是beta adjust to

  1. FRM I
  2. Financial Markets And Products

NO.PZ2019052801000026

问题如下：

Suppose we have a well-diversified $100 million equity portfolio. The portfolio beta relative to the S&P 500 is 1.2. The current value of the 3-month S&P 500 Index is 1,000. The multiplier is 250. If we want to adjust the portfolio beta to 1.8, how many S&P 500 contracts we need?

选项：

A.

long 200 contracts.

B.

long 220 contracts.

C.

long 280 contracts.

D.

long 240 contracts.

解释：

D is correct.

考点：Hedging With Stock Index Futures

解析：

(1.8−1.2)100,000,001,000×250=0.6×400=240(1.8-1.2)\frac{100,000,00}{1,000\times250}=0.6\times400=240

where beta = 1.2, target beta = 1.8, A = 250 x 1,000, P = $100 million

这个就是1.8—1.2。全面一道题是1.1—0.75

什么情况下beta在前面。什么情况下要在计算时就把负号加进去

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1 个答案

DD仔_品职助教 · 2022年02月13日

嗨，努力学习的PZer你好：


同学你好，

我不知道你说的前面一道题是什么情况，

这个题公式就是(target beta - 原来的beta)，如果target beta大，最后的结果就是正数，就是long。target beta小，结果是负数，就是short。

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答案看不见，新系统不兼容吗？

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