Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks
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DOI: 10.1007/s10614-020-09979-z
Abstract: In this paper, we explore the hedging performance of CSI 300 stock index futures under the minimum-variance and maximum-utility framework. We employ ten commonly used econometric models including constant and dynamic ones. Our empirical results… read more here.
Keywords: minimum variance; variance maximum; csi 300; maximum utility ... See more keywords