题目
The current value of the S&P 500 index is 1457, and each S&P futures contract is for delivery of 250 times the index. A long-only equity portfolio with market value of USD 300,100,000 has beta of 1.1. To reduce the portfolio beta to 0.75, how many S&P futures contract should you sell?
选项
A.288 contracts
B.618 contracts
C.906 contracts
D.574 contracts
答案
A
解析
本题如下 N=(β_new－β_old )×(size of spot position)/(size of one futures contract)=(0.75－1.1)×300,100,000/(250×1,457)=－288