最优化模型下的股指期货套利  

Optimization Model of Stock Index Futures Arbitrage

作　　者：陈守东[1] 刘英华[1] 

机构地区：[1]吉林大学数量经济研究中心,吉林长春130012

出　　处：《税务与经济》2009年第5期23-28,共6页Taxation and Economy

基　　金："吉林大学‘211工程’项目";吉林大学经济分析与预测创新基地项目;2007年教育部重大项目(项目编号:07JJD790131);2006年国家社会科学基金项目(项目编号:06BJY010)

摘　　要：对常规的最优化模型增加了对股票投资比例最低值的限定,得到新型的最优化模型,解决了现货组合中可能出现的某些股票投资比例过低的问题。跟踪现货指数的实证表明,新型最优化模型的跟踪效果优于常规最优化模型;同时,股指期货期现套利的实证也表明,新型最优化模型的套利收益率也高于常规最优化模型的套利收益率。In this paper, we increase the minimum limit value of the proportion of stock investments in the conventional optimization models, and obtain the new optimization model, which solve the problem that the cash portfolio may lead to the proportion of some stock investments too low. In the empirical research of tracking stock index, the tracking effect of the new optimization model is slightly better than the conventional one. At the same time, in the empirical research of stock index futures arbitrage, the rate of arbitrage return of the new optimization model is also slightly higher than the conventional one.

关 键 词：股指期货 现货指数 现货组合 期现套利 

分 类 号：F830.9[经济管理—金融学]