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| The formula used to create a synthetic t-bill V(1+rfr)/q*f can be used ONLY if the portfolio is the same as the underlying of the index future. CFAI is very clear on that. Look at page 363 of the derivative book. In this case, the portfolio is clearly not the S&P 500 because the beta is 1.1, so that formula cannot be used. The right answer should be A. |
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发表于 2013-4-1 13:44
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