Title :
Study on price boundary and portfolio tracking of CSI 300 index
Abstract :
There are two important factors in Stock index futures arbitrage. One is the price of the futures, and the other is the selection of portfolio duplication. In this paper, we give a price boundary model of Stock index futures considering short selling and transaction costs. Then we analyze the optimal stock portfolio scale and stock selection principle for duplicating CSI 300 index.
Keywords :
pricing; share prices; stock control; stock markets; CSI 300 index; optimal stock portfolio scale; price boundary model; stock index futures arbitrage; stock selection principle; Constraint theory; Costs; Councils; Economic indicators; Fluctuations; Mathematics; Portfolios; Pricing; Stock markets; Uncertainty; CSI 300 index; Stock index futures; price boundary; stock portfolio selection;
Conference_Titel :
Information Management and Engineering (ICIME), 2010 The 2nd IEEE International Conference on
Conference_Location :
Chengdu
Print_ISBN :
978-1-4244-5263-7
Electronic_ISBN :
978-1-4244-5265-1
DOI :
10.1109/ICIME.2010.5478105
