NO.PZ2018113001000007
问题如下：
A manager determines that the current level of excess cash is $20 million. Her target is：
60% is allocated to stock at average beta of 1.05.
The price of an appropriate stock index futures contract is $250,000 and the beta is 0.98. The manager should buy:
选项：
A.49 stock index futures contracts
B.51 stock index futures contracts
C.50 stock index futures contracts
解释：
B is correct.
解析：
从题目可知有$12million投资于股票。因为现在为现金头寸，所以beta=0。又目标Beta=1.05，
所以应该买入51份股指期货合约。
问题如下：
A manager determines that the current level of excess cash is $20 million. She decides to purchase futures contracts to replicate the return on target stock and bond. Her target is：
60% is allocated to stock at average beta of 1.05 and 40% is allocated to bond at average duration of 5.2.
The price of an appropriate stock index futures contract is $250,000 and the beta is 0.98. The price of an appropriate bond futures contract is $110,000 and duration is 6.5. The manager should buy:
选项：
A.
49 stock index futures contracts and 60 bond futures contracts.
B.
51 stock index futures contracts and 58 bond futures contracts.
C.
50 stock index futures contracts and 59 bond futures contracts.
解释：
B is correct.
请问根据公式计算出的结果是51.43份futures contracts，为什么不需要向上取整？Forward contracts和Future contracts，哪个需要向上取整？
