No.PZ2020012005000044 (选择题)
来源: 品职出题
Which of the following statements regarding index arbitrage is correct?
I.If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.
II.If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.
III.If an index futures price is less than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.
IV.If an index futures price is greater than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.
我不明白题目内容和买股票组合有什么关联性，理论价格大于期货价格，所以应当long期货嘛
