Valores

When you are trying to alter your beta to 0 (close to cash), it is a very good aproximation to use the Bt-Bp/Bf * Vp/pf*mul formula, but a true cash allocation would use the Vp(1+rf)^t/pf*mult formula. However, when you use this latter forumla, the portfolio that u are synthically turning into cash must accurately be reflected by the composition underlying the equity futures contract.

Hope this helps.