我国股指期货与ETF组合期现套利研究

沪深300股指期货的推出为投资者提供了多种投资策略.文章根据跟踪误差最小原则,利用模拟退火算法构建出最优ETF组合来模拟沪深300股指现货.然后,通过考虑融资融券成本、股利派发、跟踪误差等因素的影响,采用真实交易数据,对沪深300股指期货的期现套利进行了一次展现.结果表明,我国股指期货市场存在着套利机会,投资者可通过套利操作获得收益     

我国股指期货套利现状及其未来展望——基于近期中国股指期货市场套利的研究

本文利用嘉实沪深300ETF和华泰柏瑞沪深300ETF来复制沪深300指数现货,进而构建沪深300无风险套利上边界和下边界,通过IF1304主力合约的走势来发现市场中存在套利机会。与国外股指期货双边套利不同,虽然融资融券业务融券业务于2013年2月28号开始运行,但标的仅限于80只股票,可见中国股指期货仍只存在单边套利,随着市场上更多机构投资者加入到股指期货投资,市场的有效性会进一步加强。通过对所选数据进行分析我们发现市场仍存在套利机会并进行展望。     

基差收益和alpha收益股指期货新型套利模式

股指期货上市以来,利用ETF替代现货进行期限套利的策略被广泛讨论并被投资者实际操作,该策略旨在尽可能好地复制沪深300指数,在保证流动性的同时,使跟踪误差的最小,以便实施期现套利,这种套利方法只利用了期货本身的     

基差收益和alpha收益 股指期货新型套利模式

股指期货上市以来,利用ETF替代现货进行期限套利的策略被广泛讨论并被投资者实际操作,该策略旨在尽可能好地复制沪深300指数,在保证流动性的同时,使跟踪误差的最小,以便实施期现套利,这种套利方法只利     

股指期货跨期套利模型研究与实证分析

我国已经推出沪深300股指期货,开始了沪深300指数合约的交易,作为股指期货三大交易类别的股指期货套利交易在股指期货交易中占有十分重要的地位,也是以各大机构投资者为主体的股指期货市场交易主体的关注热点之一.因此,研究沪深300指数股指期货套利交易策略具有很大的现实意义.本文主要对股指期货的跨期套利模型进行研究,利用模拟期货市场的数据进行实证分析,给投资者提供一些股指期货跨期套利方面的建议.     

对复制跟踪沪深300股票组合模型的探讨

中国金融期货交易所第一个交易品种——股指期货上市在即，但目前金融衍生品市场上却没有与之完全对应可进行套利的合适产品。两支沪深300的LOF流动性不强，三支指数型ETF和沪深300相关性不够，高端投资者迫切地需要建立合格的投资给合来跟踪沪深300指数。     

股指期货期现套利中现货模拟技术比较

股指期货期现套利中现货组合的构建是套利行为的关键步骤。本文通过比较传统指数基金、ETF基金以及选取三十只成分股复制沪深300指数三种现货构建方法,在综合比较交易成本、管理成本、冲击成本、流动性、与标的指数相关性以及跟踪偏差后,得出通过行业分层配置法构建现货组合具有成本低、流动性强,且与标的指数相关性及跟踪偏差与ETF基金相当的优点。     

论沪深300指数期货套利策略设计及应用

我国沪深300指数期货的仿真交易已经推出,指数期货的正式启动也指日可待。这对于丰富我国证券市场交易品种,促进金融工程的发展都有着重要意义。本文对指数期货的套利功能进行考察,并应用于我国市场的实际情况,为投资者利用沪深300指数期货进行实际套利操作提供参考。     

论沪深300指数期货套利策略设计及应用

我国沪深300指数期货的仿真交易已经推出,指数期货的正式启动也指日可待。这对于丰富我国证券市场交易品种,促进金融工程的发展都有着重要意义。本文对指数期货的套利功能进行考察,并应用于我国市场的实际情况,为投资者利用沪深300指数期货进行实际套利操作提供参考。     

股指期货的期限套利策略

本文以华泰柏瑞沪深300ETF和沪深300股指期货真实高频交易数据为基础,结合中国实际情况,运用 EViews软件对沪深300股指期货、华泰柏瑞沪深300ETF序列进行单位根检验和协整检验,并进行了期现套利的实证分析,最后得出相应的结论。     

The high-volume return premium: evidence from the Chinese stock market

Extreme trading activity contains valuable information about the future evolution of stock prices in the Chinese stock market. Over the next 30 trading days after the initial volume shocks, a high-low volume portfolio earns a net average cumulate return of 2.08% and a high-low volume and size portfolio earns 3.37%, suggesting that there exists a high-volume return premium and that Chinese investors favor high-volume small-size stocks. However, a volume momentum portfolio earns a −1.65% net average cumulative return, indicating that Chinese stocks exhibit a short-run reversal. Portfolio construction, market risk, and firm size do not seem to explain the results.     

Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios

Participating life insurance contracts allow the policyholder to participate in the annual return of a reference portfolio. Additionally, they are often equipped with an annual (cliquet-style) return guarantee. The current low interest rate environment has again refreshed the discussion on risk management and fair valuation of such embedded options. While this problem is typically discussed from the viewpoint of a single contract or a homogeneous* insurance portfolio, contracts are, in practice, managed within a heterogeneous insurance portfolio. Their valuation must then – unlike the case of asset portfolios – take account of portfolio effects: Their premiums are invested in the same reference portfolio; the contracts interact by a joint reserve, individual surrender options and joint default risk of the policy sponsor. Here, we discuss the impact of portfolio effects on the fair valuation of insurance contracts jointly managed in (homogeneous and) heterogeneous life insurance portfolios. First, in a rather general setting, including stochastic interest rates, we consider the case that otherwise homogeneous contracts interact due to the default risk of the policy sponsor. Second, and more importantly, we then also consider the case when policies are allowed to differ in further aspects like the guaranteed rate or time to maturity. We also provide an extensive numerical example for further analysis.     

股指期货与股指期权套期保值组合的Delta中性动态模拟——基于沪深300股指期货仿真交易的分析

沪深300股指期货的推出,在为市场提供套保工具和流动性的同时,也带来新的风险。本文运用同一指数的股指期权与股指期货组成多种动态套期保值组合,分析股指期货的风险对冲策略。结果表明所构造的组合都能为股指期货提供有效的套期保值;不论多头股指期货还是空头股指期货,保护性策略的风险控制能力更强。     

Comment on “Optimal portfolio selection in a value-at-risk framework”

This comment discusses some errors in [Journal of Banking and Finance 25 (2001) 1789]. Given the portfolio rate of return is normally distributed, the following can be inferred. First, taking expected portfolio return rate as the benchmark of value-at-risk (VaR), the risk–return ratio collapses to a multiple of the Sharpe index. However, using risk-free rate as the benchmark, then above inference does not hold. Second, whether the benchmark of VaR is expected portfolio return rate or the risk-free rate, the optimal asset allocations for maximizing the risk–return ratio and Sharpe index are identical.     

Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem

This article studies the contracting problem between an individualinvestor and a professional portfolio manager in a continuous-timeprincipal-agent framework. Optimal contracts are obtained inclosed form. These contracts are of a symmetric form and suggestthat a portfolio manager should receive a fixed fee, a fractionof the total assets under management, plus a bonus or a penaltydepending upon the portfolio's excess return relative to a benchmarkportfolio. The appropriate benchmark portfolio is an activeindex that contains risky assets where the number of sharesinvested in each asset can vary over time, rather than a passiveindex in which the number of shares invested in each asset remainsconstant over time.     

Optimal hedge ratio and hedging effectiveness of stock index futures: evidence from India

In a free capital mobile world with increased volatility, the need for an optimal hedge ratio and its effectiveness is warranted to design a better hedging strategy with future contracts. This study analyses four competing time series econometric models with daily data on NSE Stock Index Futures and S&P CNX Nifty Index. The effectiveness of the optimal hedge ratios is examined through the mean returns and the average variance reduction between the hedged and the unhedged positions for 1-, 5-, 10- and 20-day horizons. The results clearly show that the time-varying hedge ratio derived from the multivariate GARCH model has higher mean return and higher average variance reduction across hedged and unhedged positions. Even though not outperforming the GARCH model, the simple OLS-based strategy performs well at shorter time horizons. The potential use of this multivariate GARCH model cannot be sublined because of its estimation complexities. However, from a cost of computation point of view, one can equally consider the simple OLS strategy that performs well at the shorter time horizons.     

The Pricing of Futures and Options Contracts on the Value Line Index

This paper considers the problems peculiar to the Value Line Index, because of its use of geometric averaging, as regards the pricing of options and futures on that index. The Value Line Composite Index (VLCI) is an equally weighted geometric average index of nearly 1700 stocks. The VLCI futures market has existed since 1982 while the VLCI options market was established in 1985. This paper provides valuation formulas and analyzes the economic properties of these contracts. Because of the geometric averaging in the VLCI, its contingent claims have special properties. For example, the futures price may fall short of the spot price and the value of a VLCI call option may decline when the volatility of the index is increased. VLCI futures are shown to provide a direct means for duplicating an equally weighted portfolio of the underlying stocks.     

Relative Guarantees

Many real-world financial contracts have some sort of minimum rate of return guarantee included. One class of these guarantees is so-called relative guarantees, i.e., guarantees where the minimum guaranteed rate of return is given as a function of the stochastic return on a reference portfolio. These guarantees are the topic of this paper. We analyse a wide range of different functional specifications for the minimum guaranteed rate of return, hereunder both so-called maturity and multi-period guarantees. Several closed form solutions are presented.     

A dynamic model of active portfolio management with benchmark orientation

This paper studies optimal dynamic portfolios for investors concerned with the performance of their portfolios relative to a benchmark. Assuming that asset returns follow a multi-linear factor model similar to the structure of Ross (1976) [Ross, S., 1976. The arbitrage theory of the capital asset pricing model. Journal of Economic Theory, 13, 342–360] and that portfolio managers adopt a mean tracking error analysis similar to that of Roll (1992) [Roll, R., 1992. A mean/variance analysis of tracking error. Journal of Portfolio Management, 18, 13–22], we develop a dynamic model of active portfolio management maximizing risk adjusted excess return over a selected benchmark. Unlike the case of constant proportional portfolios for standard utility maximization, our optimal portfolio policy is state dependent, being a function of time to investment horizon, the return on the benchmark portfolio, and the return on the investment portfolio. We define a dynamic performance measure which relates portfolio’s return to its risk sensitivity. Abnormal returns at each point in time are quantified as the difference between the realized and the model-fitted returns. Risk sensitivity is estimated through a dynamic matching that minimizes the total fitted error of portfolio returns. For illustration, we analyze eight representative mutual funds in the U.S. market and show how this model can be used in practice.