这道题股票头寸不是60million么。

问题如下：

The portfolio has a market value of $100 million. The initial stock allocation is 60% . The initial beta is 1.10.

A portfolio manager wants to alter stock allocation to 50% for two months.

A stock index futures contract that expires in two months is priced at $150,000 and has a beta of 1.05.

In order to achieve this objectives, the manager shoud：

选项：

A.

sell 48 stock futures contracts

B.

sell 70 stock futures contracts

C.

sell 118 stock futures contracts

解释：

B is correct.

考点：调整头寸

解析：

现在股票头寸=0.6(100,000,000)= $60,000,000

目标股票头寸=0.5(100,000,000)= $50,000,000

为了达到目标，需要减少10,000,000股票

需要的股票期货合约(转成cash)：

$N_{\text{s}f}={(\frac{0.0-1.10}{1.05})}{(\frac{10,000,000}{150,000})}=-69.84$

因此需要卖出70份股票期货合约。