股指期货类理财产品的套利与优化

Arbitrage and optimization of stock index futures type of financial products

针对理财产品风险控制问题,沪深300股指期货的运行为理财产品打开了创新空间,但是现有股指期货类理财产品的套利表现未尽人意,还需要深入优化。运用优化理论,结合市场数据,给出传统对冲型股指期货理财产品的优化方案和引入股指期货的套利型理财产品的优化方案,并对这两款产品进行模拟运行。这两款产品收益率与市场同期运行的理财产品相比得到显著提高。

Although the operation of CSI 300 stock index futures opens innovation space for financial products, there is still room for optimizing the unsatisfactory arbitrage of existing financial products of stock index futures type. In view of problems in risk control of financial products, two optimization plans were proposed respectively for hedging financial products of traditional stock index futures type and for arbitrage financial products of introduced stock index futures type based on optimization theory and market data. The simulation of their operation was followed. Yields of these two products are significantly higher than those of financial products on the market.