金融工程中股票期货问题（课后习题）

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某投资者持有价值为500000美元的股票组合，该股票组合的 Beta 值为1.0。他打算用 CME 的 S&P 500指数期货来改变持有的股票组合的 Beta 值。/问题：(1)如果他的目标 Beta 值是0.5，应该如何操作？（2）如果他的目标 Beta 值是1.5，又应该如何操作？


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关键词：股票期货 课后习题 金融工程 beta 如何操作 金融工程 投资者 价值 如何

Ok, it is simple.

You know the price of SP500 stock index futures right? for example 1600 points at this time. And the SP500 stock index futures is 250$ per point

So one contract's value is 1600*250, you have a portfolio worth 500000$ to hedge. So the futures number you need to short is 500000/1600*250. Since the index futures has a beta equal to 1, you have to adjust the number of the futures you need to short according to the relative beta between the portfolio and the futures. What you do is to multiply the number of the futures contracts number by the beta of the portfolio.

if the beta=1, the number of futures contracts you need to short=1*500000/1600*250
if the beta=0.5, the number of futures contracts you need to short=0.5*500000/1600*250
if the beta=1.5, the number of futures contracts you need to short=1.5*500000/1600*250

best,