作者labefaction (动物园)
看板Trading
标题[问题] 想请问一个风险相关的问题
时间Mon Oct 1 13:21:18 2007
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?
thank you!
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