四舍五入不应该是102份嘛

问题如下：

The equity portfolio has a market value of $10,000,000, The fund plans to use a futures contract priced at $125,000 in order to decrease the beta from 1.2 to zero for the period of two months. The futures contract has a beta of 0.95. The number of futures contracts needed to be sold is:

选项：

95

123

101

解释：

C is correct.

考点：用futures合约调整beta

解析：

需要的futures contracts数量为：

Nf=(betaT-betaS)/(betaS)×(S/f)=(0-1.20)/0.95×(10,000,000/125,000)=-101.05

四舍五入之后为-101，因此应该卖出101份期货合约。