开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

chris2.0🔱 · 2022年06月20日

可以这么想么

NO.PZ2018113001000005

问题如下:

The equity portfolio has a market value of $6,000,000, The pension fund plans to use a futures contract priced at $250,000 in order to increase the beta from 0.9 to 1.2 for the period of one month. The futures contract has a beta of 0.95. One months later, the return of equity market is 5%, the market value of equity portfolio is $6,250,000, the price of futures contract is $262,000.

The effective beta of the equity portion of the fund is closest to:

选项:

A.

1.15.

B.

1.20

C.

1.05

解释:

A is correct.

考点:计算effective beta

解析:

将beta从0.9调整为1.2需要的合约数量为:

Nf=(βTβSβS)(Sf)=(1.20.90.95)($6,000,000$250,000)=7.58N_f=(\frac{\beta_T-\beta_S}{\beta_S})(\frac Sf)=(\frac{1.2-0.9}{0.95})(\frac{\$6,000,000}{\$250,000})=7.58

因此,需要买入8份期货合约。

一个月之后:

期货合约所带来的利润=8×(262,000-250,000)=$96,000

股票组合的市场价值变为6,250,000,加上期货合约的收益可以得到整个头寸的价值=$6,250,000+$96,000=$6,346,000,

整个头寸的收益=$6,346,000/$6,000,000-1=0.0577

又因为市场的收益率为5%,而组合的收益率为5.77%,所以组合的有效贝塔为:

0.0577/0.05=1.154

这道题可以这么想么。不考虑远期市场多少份,分别计算现货市场收益增加5%。远期市场,收益率为(262000-25000)除以250000,算出来的收益率不一样

1 个答案

Hertz_品职助教 · 2022年06月21日

嗨,从没放弃的小努力你好:


同学你好

同学的问题:

这道题可以这么想么。不考虑远期市场多少份,分别计算现货市场收益增加5%。远期市场,收益率为(262000-25000)除以250000,算出来的收益率不一样

回答:

1.     首先题目中使用的是期货合约哈不是远期合约。然后同学的意思是不考虑期货合约的份数,计算单份合约的收益率这样。

2.     不可以的。

本题考察的是计算effective β,公式为effective β=组合的收益率/市场的收益率。

现在题目已经告诉了市场的收益率是5%了,这个是不需要计算的;所以我们只需要计算组合的收益即可。

计算组合的收益需要知道期初和期末的价值分别是多少,而这个组合中既包括了期货合约又包括了原来的股票头寸,所以二者缺一不可的哈,而且期货合约的份数也不能忽略掉的,因为8份合约都在组合中呀。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 502

    浏览
相关问题

NO.PZ2018113001000005 问题如下 The equity portfolio ha market value of $6,000,000, The pension funplans to use a futures contraprice$250,000 in orr to increase the beta from 0.9 to 1.2 for the perioof one month. The futures contraha beta of 0.95. One months later, the return of equity market is 5%, the market value of equity portfolio is $6,250,000, the priof futures contrais $262,000. The effective beta of the equity portion of the funis closest to: 1.15. 1.20 1.05 A is correct.考点计算effective beta解析将beta从0.9调整为1.2需要的合约数量为Nf=(βT−βSβS)(Sf)=(1.2−0.90.95)($6,000,000$250,000)=7.58N_f=(\frac{\beta_T-\beta_S}{\beta_S})(\frSf)=(\frac{1.2-0.9}{0.95})(\frac{\$6,000,000}{\$250,000})=7.58Nf​=(βS​βT​−βS​​)(fS​)=(0.951.2−0.9​)($250,000$6,000,000​)=7.58因此,需要买入8份期货合约。一个月之后期货合约所带来的利润=8×(262,000-250,000)=$96,000股票组合的市场价值变为6,250,000,加上期货合约的收益可以得到整个头寸的价值=$6,250,000+$96,000=$6,346,000,整个头寸的收益=$6,346,000/$6,000,000-1=0.0577又因为市场的收益率为5%,而组合的收益率为5.77%,所以组合的有效贝塔为0.0577/0.05=1.154 为什么期货的期初成本是0?

2024-09-08 14:55 1 · 回答

NO.PZ2018113001000005 问题如下 The equity portfolio ha market value of $6,000,000, The pension funplans to use a futures contraprice$250,000 in orr to increase the beta from 0.9 to 1.2 for the perioof one month. The futures contraha beta of 0.95. One months later, the return of equity market is 5%, the market value of equity portfolio is $6,250,000, the priof futures contrais $262,000. The effective beta of the equity portion of the funis closest to: 1.15. 1.20 1.05 A is correct.考点计算effective beta解析将beta从0.9调整为1.2需要的合约数量为Nf=(βT−βSβS)(Sf)=(1.2−0.90.95)($6,000,000$250,000)=7.58N_f=(\frac{\beta_T-\beta_S}{\beta_S})(\frSf)=(\frac{1.2-0.9}{0.95})(\frac{\$6,000,000}{\$250,000})=7.58Nf​=(βS​βT​−βS​​)(fS​)=(0.951.2−0.9​)($250,000$6,000,000​)=7.58因此,需要买入8份期货合约。一个月之后期货合约所带来的利润=8×(262,000-250,000)=$96,000股票组合的市场价值变为6,250,000,加上期货合约的收益可以得到整个头寸的价值=$6,250,000+$96,000=$6,346,000,整个头寸的收益=$6,346,000/$6,000,000-1=0.0577又因为市场的收益率为5%,而组合的收益率为5.77%,所以组合的有效贝塔为0.0577/0.05=1.154 请问effective beta在哪里讲过呢,这个题算不算超纲?

2024-01-13 11:29 1 · 回答

NO.PZ2018113001000005 问题如下 The equity portfolio ha market value of $6,000,000, The pension funplans to use a futures contraprice$250,000 in orr to increase the beta from 0.9 to 1.2 for the perioof one month. The futures contraha beta of 0.95. One months later, the return of equity market is 5%, the market value of equity portfolio is $6,250,000, the priof futures contrais $262,000. The effective beta of the equity portion of the funis closest to: 1.15. 1.20 1.05 A is correct.考点计算effective beta解析将beta从0.9调整为1.2需要的合约数量为Nf=(βT−βSβS)(Sf)=(1.2−0.90.95)($6,000,000$250,000)=7.58N_f=(\frac{\beta_T-\beta_S}{\beta_S})(\frSf)=(\frac{1.2-0.9}{0.95})(\frac{\$6,000,000}{\$250,000})=7.58Nf​=(βS​βT​−βS​​)(fS​)=(0.951.2−0.9​)($250,000$6,000,000​)=7.58因此,需要买入8份期货合约。一个月之后期货合约所带来的利润=8×(262,000-250,000)=$96,000股票组合的市场价值变为6,250,000,加上期货合约的收益可以得到整个头寸的价值=$6,250,000+$96,000=$6,346,000,整个头寸的收益=$6,346,000/$6,000,000-1=0.0577又因为市场的收益率为5%,而组合的收益率为5.77%,所以组合的有效贝塔为0.0577/0.05=1.154 题目已经告诉了市场的收益率是5%了,又说股票市值达到6250,这个逻辑在哪?认可6250,股票收益率是4.167% ;认可收益率是5%,股票市值应该为6300??

2023-10-18 23:00 1 · 回答

NO.PZ2018113001000005 问题如下 The equity portfolio ha market value of $6,000,000, The pension funplans to use a futures contraprice$250,000 in orr to increase the beta from 0.9 to 1.2 for the perioof one month. The futures contraha beta of 0.95. One months later, the return of equity market is 5%, the market value of equity portfolio is $6,250,000, the priof futures contrais $262,000. The effective beta of the equity portion of the funis closest to: 1.15. 1.20 1.05 A is correct.考点计算effective beta解析将beta从0.9调整为1.2需要的合约数量为Nf=(βT−βSβS)(Sf)=(1.2−0.90.95)($6,000,000$250,000)=7.58N_f=(\frac{\beta_T-\beta_S}{\beta_S})(\frSf)=(\frac{1.2-0.9}{0.95})(\frac{\$6,000,000}{\$250,000})=7.58Nf​=(βS​βT​−βS​​)(fS​)=(0.951.2−0.9​)($250,000$6,000,000​)=7.58因此,需要买入8份期货合约。一个月之后期货合约所带来的利润=8×(262,000-250,000)=$96,000股票组合的市场价值变为6,250,000,加上期货合约的收益可以得到整个头寸的价值=$6,250,000+$96,000=$6,346,000,整个头寸的收益=$6,346,000/$6,000,000-1=0.0577又因为市场的收益率为5%,而组合的收益率为5.77%,所以组合的有效贝塔为0.0577/0.05=1.154 这里算整个头寸收益的时候,为什么不在分母加上买期货的成本?

2023-09-04 11:44 1 · 回答

NO.PZ2018113001000005 问题如下 The equity portfolio ha market value of $6,000,000, The pension funplans to use a futures contraprice$250,000 in orr to increase the beta from 0.9 to 1.2 for the perioof one month. The futures contraha beta of 0.95. One months later, the return of equity market is 5%, the market value of equity portfolio is $6,250,000, the priof futures contrais $262,000. The effective beta of the equity portion of the funis closest to: 1.15. 1.20 1.05 A is correct.考点计算effective beta解析将beta从0.9调整为1.2需要的合约数量为Nf=(βT−βSβS)(Sf)=(1.2−0.90.95)($6,000,000$250,000)=7.58N_f=(\frac{\beta_T-\beta_S}{\beta_S})(\frSf)=(\frac{1.2-0.9}{0.95})(\frac{\$6,000,000}{\$250,000})=7.58Nf​=(βS​βT​−βS​​)(fS​)=(0.951.2−0.9​)($250,000$6,000,000​)=7.58因此,需要买入8份期货合约。一个月之后期货合约所带来的利润=8×(262,000-250,000)=$96,000股票组合的市场价值变为6,250,000,加上期货合约的收益可以得到整个头寸的价值=$6,250,000+$96,000=$6,346,000,整个头寸的收益=$6,346,000/$6,000,000-1=0.0577又因为市场的收益率为5%,而组合的收益率为5.77%,所以组合的有效贝塔为0.0577/0.05=1.154 如果这个题没有告诉 the market value of equity portfolio is $6,250,000,让求?怎么求?6000000x(1+betax5%),是不是应该用这个方法求解?那这里面的贝塔 选哪个呢?

2023-05-20 09:34 2 · 回答