NO.PZ2022123002000063
问题如下：
Lehigh tells the committee she believes U.S. large-cap stocks will
perform well over the next year. The committee agrees and wants B&W to
adjust the beta of the U.S. large-cap part of the portfolio to a target of 1.10
by purchasing large-cap futures contracts. Lehigh proposes purchasing 15
contracts. For each contract, the beta is 1.00 and the price is USD 100,000.
Exhibit 1 Packer Portfolio
Characteristics
Will
Lehigh’s purchase of U.S. large-cap futures contracts most likely result
in the committee’s beta objective for the U.S. large-cap investment being
attained?
选项：
A.Yes
No,
because the beta will be below the target
No,
because the beta will be above the target
解释：
Correct Answer: B
B is correct
because purchasing 15 futures contracts increases the beta to 1.00, not 1.10.
Purchasing 45 futures contracts is necessary to attain the beta target.
组合的beta=（30000000*0.95+15*100000*1）/30000000=1，小于target beta1.1.
这道题按照这种方式做对么？
MVp*βp+Pf*Nf*βf=MVp' * βp'
