请问这个怎么对冲啊？

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You are in charge of a 10 million portfolio. You suspect that the current market decline may continue for another 6 months. You would like to hedge the portfolio to a decline below 9.5 million and are considering options on the market index to hedge the portfolio. The portfolio has a beta of 1.5, the market index is standing at 500 and a 6 month put option on the index is available with a strike price of 492.5. The risk free rate is 5; 5% per year. (For now you may ignore any dividends on the index and portfolio).

How can you construct this hedge? If the annual index volatility is 20%, what would be the approximate cost of the option?

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关键词：Considering Approximate Volatility Portfolio Available available continue another current suspect

楼主可以参看百度百科“对冲”词条中“沽出对冲”一栏的内容http://baike.baidu.com/view/35030.htm#4

baidu上只简单的说beta是1.5的话，市场跌2%,股票组合就跌3%。可是根据capm公式，是需要考虑无风险利率的啊。





















2# 一个人走遍百度

去年学期货市场学的时候，学过CAPM公式，现在记不清了，但是我觉得楼主的问题是可以套用这个公式算出来得，不过缺少期权合约价格的数据