老师这道题我是理解成从28M去Balance到期初20M

问题如下：

The number of Euro Stoxx index futures needed to bring the equity exposure of Smith’s portfolio to its target is closest to:

选项：

A.

buy 263 Euro Stoxx Index Futures

B.

sell 263 Euro Stoxx Index Futures

C.

sell 313 Euro Stoxx Index Futures

解释：

Smith’s Portfolio on 1 January Year 1

Smith’s European Portfolio on 1 January Year 2

To synthetically rebalance EUR 3 million from the European equity portfolio with a beta of 1.25 using Euro Stoxx index futures contracts, Smith will need to sell:

where:

N_Sf = number of Euro index futures contracts

β_T = target beta (0)

β_S = beta of synthetic cash (1.25) from the presumed sale of European Equity

β_f = futures beta (1.0)

S = market value of equity position ($3,000,000)

f_s = Euro index futures contract price (1200)

m = multiplier (10)

Number of futures to sell = {(0 – 1.25) / 1.0} × {$3,000,000 / (1200 × 10)} = – 312.50 = – 313 (rounded)

Oliver Smith should sell 313 Euro Stoxx index futures contracts.