理解不了

问题如下：

A $100 million pension fund with 80% stock . The beta of equity portion is 1.2 . In order to adjust the allocation to 60% stock , what is the number of stock index futures needed to buy?

Suppose the stock index value is 1,200, multiplier is $250, the beta is 0.95.

选项：

A.

-84

B.

-98

C.

-95

解释：

A is correct.

考点：用futures contract 调整组合的头寸

解析：

1. 要将20%*100,000,000=$20,000,000的股票的beta调整为0（转成cash）

股票价格 = $250 x 1200 = $300,000

$N_f=(\frac{0-1.2}{0.95})(\frac{\$20,000,000}{\$300,000})=-84.21(-84rounded)$

因此，需要买入-84份股票期货合约。