※ 引述《labefaction (动物园)》之铭言： : It is July 16, : A company has a portfolio of stocks worth $100 million. : The beta of the portfolio is 1.2. : The company would like to use the CME Dec. futures : contract on the S&P 500 to change the beta of the : portfolio to 0.5 during the period July 16 to Nov. 16. : The index is currently 1,000, and each contract is on : $250 times the index. : a)what position should be company take? : b)suppose that the company changes its mind and decides : to increase the beta of the portfolio from 1.2 to 1.5. : What position in futures contracts should it take? : thankyou! 这似乎是财管衍生性商品的避险问题吧 公式: 期货避险口数 =(目标Beta-目前Beta)x(投资组合总值 / 一口期货市值) =(0.5 - 1.2)x(100,000,000 / 1000x250 ) =-0.7x400=-280口==============>即应卖出280口的期货来避险 所以下面那题 一样照公式算 结果是 =0.3x400=120口===============>应买进120口期货 若有错误请指教更正 谢谢 -- 你知道吻别时，为什麽总是要闭着眼吗? 因为 在这短暂的时间里 我是想你的... --

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