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The study of the hedging of ETFs using stock index futures. (Chinese. English summary) Zbl 1299.91128

Summary: In this paper, the authors use the CSI 300 index futures to study the hedging devices of three index funds: 50ETF, 100ETF and 180ETF, the hedge ratios are chosen by two models: the static Ederington model and the dynamic state space model. The authors compare the two models in different trends of market. The result shows that, the state space model always does better in controlling the risk (variance) of the portfolio, while in making profit, the state space model only has better performance when the market is in clear trend.

MSC:

91G10 Portfolio theory
91G20 Derivative securities (option pricing, hedging, etc.)
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