开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

bzs728 · 2025年05月11日

No.PZ2023091802000041

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

D.

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?

1 个答案

李坏_品职助教 · 2025年05月11日

嗨,努力学习的PZer你好:


股指期货的标的物就是股票指数,而股指期货自己也有index value,就是当前的期货报价。这个题目说的S&P futures is at 2,000意思就是,现在的股指期货index value = 2000.


----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 0

    关注
  • 2

    浏览
相关问题

NO.PZ2023091802000041问题如下 You manage a US equity portfolio with the following characteristics:Fears of a clining economy prompt you to reyour marketexposure, anyou want to lower your beta to 0.8 for the next six months usingS P futures. If the 6-month S P futures is 2,000 aneacontractis for US250 times the inx value, whiposition will reyourportfolio’s beta to 0.8? A.Short 12 futures contractsB.Short 14 futures contracts Long 12 futures contracts Long 14 futures contracts 该知识点对应学习内容以及公式在哪

2024-10-15 11:17 1 · 回答

NO.PZ2023091802000041 问题如下 You manage a US equity portfolio with the following characteristics:Fears of a clining economy prompt you to reyour marketexposure, anyou want to lower your beta to 0.8 for the next six months usingS P futures. If the 6-month S P futures is 2,000 aneacontractis for US250 times the inx value, whiposition will reyourportfolio’s beta to 0.8? A.Short 12 futures contracts B.Short 14 futures contracts Long 12 futures contracts Long 14 futures contracts 等式右边是5m*2可以理解,但是又引入了future之后 整个target的金额就不该是5m了呀?左边为什么是5m*0.8呢?

2023-11-08 12:33 2 · 回答

NO.PZ2023091802000041 问题如下 You manage a US equity portfolio with the following characteristics:Fears of a clining economy prompt you to reyour marketexposure, anyou want to lower your beta to 0.8 for the next six months usingS P futures. If the 6-month S P futures is 2,000 aneacontractis for US250 times the inx value, whiposition will reyourportfolio’s beta to 0.8? A.Short 12 futures contracts B.Short 14 futures contracts Long 12 futures contracts Long 14 futures contracts 求此道题目的解析,谢谢!

2023-10-19 17:02 1 · 回答