想請問一個風險相關的問題 - 經濟

※ 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?
: 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?
: thankyou!
這似乎是財管衍生性商品的避險問題吧

公式:
期貨避險口數
=(目標Beta-目前Beta)x(投資組合總值 / 一口期貨市值)
=(0.5 - 1.2)x(100,000,000 / 1000x250 )
=-0.7x400=-280口==============>即應賣出280口的期貨來避險

所以下面那題
一樣照公式算
結果是
=0.3x400=120口===============>應買進120口期貨

若有錯誤請指教更正
謝謝

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妳知道吻別時，為什麼總是要閉著眼嗎?

因為 在這短暫的時間裡

我是想妳的...

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