※ 引述《labefaction (動物園)》之銘言： : 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? short 100,000,000 / (1,000x250) x (1.2-0.5) = 280 contracts : 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? long 100,000,000 / (1,000x250) x (1.5-1.2) = 120 contracts : thank you! -- 而一首歌的寂寞 怎麼有人懂 --

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