- UID
- 218216
- 帖子
- 513
- 主题
- 114
- 注册时间
- 2011-5-26
- 最后登录
- 2012-9-12
|
| elcfa quick thing on your formula......... the BT = 0 because you want the portfolio to have zero beta and be totally hedged. the Bp = your current portfolio beta that you wish to hedge away. Since the value would be negative you are essentially shorting futures. |
|
发表于 2011-7-11 19:16
| 