DocumentCode
2554583
Title
Study on price boundary and portfolio tracking of CSI 300 index
Author
Ding, Sheng
fYear
2010
fDate
16-18 April 2010
Firstpage
429
Lastpage
432
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICIME.2010.5478105
Filename
5478105
Link To Document