NO.PZ2022123002000057
问题如下：
One of Bing's clients is KP McLane Incorporated (KPM Inc.), a
US-based manufacturer of men's apparel. The current market value of KPM Inc.'s
pension portfolio is $950 million, with a 65% allocation to US midcap stocks
and a 35% allocation to US bonds. The stock allocation has a beta of 1.45, and
the bond allocation has a modified duration of 5.3. Bing's research indicates
that midcap stocks are likely to underperform in the near term. Accordingly,
she decides to reduce the allocation to midcap stocks to 60% and increase the
bond allocation to 40%.
To
carry out the proposed adjustment to the KPM Inc. pension portfolio, the number
of S&P 400 MidCap futures Bing would need to sell and the number of
Barclays US Aggregate Bond Index futures she would need to buy, respectively,
are closest to:
选项：
A.76
S&P 400 MidCap Futures and 265 Barclays US Bond Futures
99
S&P 400 MidCap Futures and 287 Barclays US Bond Futures
128
S&P 400 MidCap Futures and 312 Barclays US Bond Futures
解释：
Correct Answer: C
$950,000,000*0.05
= $47,500,000 to be converted from equity to cash to bonds.
这道题因为给的已知条件有限，股票只有BETA数给全了，bond只有MD的数给全了，那如果股票和bond的beta、MD全部给出，什么情况下调beta ，什么情况下调MD?
