Re: [請益] 想請問一個風險相關的問題

看板Economics作者jacky123 (徵人10月機車環島阿)時間16年前 (2007/10/02 02:50)推噓1(1推 0噓 0→)

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※ 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? : 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! 這似乎是財管衍生性商品的避險問題吧公式: 期貨避險口數 =(目標Beta-目前Beta)x(投資組合總值 / 一口期貨市值) =(0.5 - 1.2)x(100,000,000 / 1000x250 ) =-0.7x400=-280口==============>即應賣出280口的期貨來避險所以下面那題一樣照公式算結果是 =0.3x400=120口===============>應買進120口期貨若有錯誤請指教更正謝謝 -- 妳知道吻別時，為什麼總是要閉著眼嗎? 因為在這短暫的時間裡我是想妳的... -- ※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 59.124.105.20

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labefaction

10/02 08:30, , 1^F

10/02 08:30, 1^F

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