※ 引述《labefaction (動物園)》之銘言：
: It is July 16,
: A company has a portfolio of stocks worth $100 million.
: The beta of the portfolio is 1.2.
: The company would like to use the CME Dec. futures
: contract on the S&P 500 to change the beta of the
: portfolio to 0.5 during the period July 16 to Nov. 16.
: The index is currently 1,000, and each contract is on
: $250 times the index.
: a)what position should be company take?
short
100,000,000 / (1,000x250) x (1.2-0.5) = 280 contracts
: b)suppose that the company changes its mind and decides
: to increase the beta of the portfolio from 1.2 to 1.5.
: What position in futures contracts should it take?
long
100,000,000 / (1,000x250) x (1.5-1.2) = 120 contracts
: thank you!
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而一首歌的寂寞 怎麼有人懂
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: It is July 16,
: A company has a portfolio of stocks worth $100 million.
: The beta of the portfolio is 1.2.
: The company would like to use the CME Dec. futures
: contract on the S&P 500 to change the beta of the
: portfolio to 0.5 during the period July 16 to Nov. 16.
: The index is currently 1,000, and each contract is on
: $250 times the index.
: a)what position should be company take?
short
100,000,000 / (1,000x250) x (1.2-0.5) = 280 contracts
: b)suppose that the company changes its mind and decides
: to increase the beta of the portfolio from 1.2 to 1.5.
: What position in futures contracts should it take?
long
100,000,000 / (1,000x250) x (1.5-1.2) = 120 contracts
: thank you!
--
而一首歌的寂寞 怎麼有人懂
--
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