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pengyaning · 2023年10月19日

求此道题目的解析，谢谢！

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000041

问题如下：

You manage a US equity portfolio with the following characteristics:

Fears of a declining economy prompt you to reduce your market exposure, and you want to lower your beta to 0.8 for the next six months using S&P futures. If the 6-month S&P futures is at 2,000 and each contract is for USD 250 times the index value, which position will reduce your portfolio’s beta to 0.8?

选项：

A.

Short 12 futures contracts

B.

Short 14 futures contracts

C.

Long 12 futures contracts

D.

Long 14 futures contracts

解释：

求此道题目的解析，谢谢！

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1 个答案

品职答疑小助手雍 · 2023年10月20日

同学你好，这题直接套讲义公式即可（0.8-2）*5,000,000/(250*1*2000) = -12。

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