标题: 2012 Schweser practice set 1 exam 2 afternoon Q37 page 133 [打印本页] 作者: ramdabom 时间: 2013-4-24 09:35 标题: 2012 Schweser practice set 1 exam 2 afternoon Q37 page 133
In this question, the equity position was converted into cash using future.
If we calculate the no of future required using beta formula the right answer should be B.
However Schweser has calculated by using the formula V(1+rf)^t/qf and given right answer as C.
Why can’t we use the beta formula and take target beta as zero. As per text formula,beta formula is general while the second formula is used if portfolio is same as index.Also they mentioned if portfolio is same as index, both formula should give identical result.
Please reply back.作者: Beatnik 时间: 2013-4-24 09:37
I believe synthetic is the key word. If you use the “beta” formula, you are just removing market exposure and not earning the RIsk free rate.
