NO.PZ2018113001000009
问题如下:
A manager wants to temporarily reduce his exposure to equities for one month. The manager plans to construct a synthetic cash position by selling futures. The portfolio value is $10 million, dividend yield is 0.3%, risk-free rate is 5%. The futures contract is priced at $1,250 and has a multiplier of $100.
The number of futures contracts required to sell is:
选项:
A.79
B.80
C.81
解释:
B is correct.
考点:synthetic cash
解析:
该投资经理希望一个月后可以获得无风险收益率,现在组合的价值为$10,000,000,那么一个月之后应该获得:
为了期末组合的价值为,在初期需要卖出的合约数:
通过四舍五入,应该卖出80份期货合约。
synthetic cash 和synthetic future是这一章中哪个知识点?我翻了基础讲义并没有看到?