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
Long 14 futures contracts
解释:
不太理解这句话“each contract is for USD 250 times the index value”
答案里是250*2000,但是这个2000是期货的价格不是index value, 为什么不需要再乘一个index value呢?