A RESEARCH INTO THE PORTFOLIO OF COMMODITY FUTURES AND OPTIONS

来源期刊：中南大学学报(英文版)1994年第z1期

论文作者：Chen Xiaohong

文章页码：11 - 17

Key words：portfolio; futures; options; trading strategy

Abstract: In this paper, the basic characters of portfolio using commodity futures and options are described. The profit diagrams of portfolio are drawn and the profit or loss of portfolio investment are analyzed. According to the deviation of price change, the portfolio proportion of commodity futures and options is calculated. In the end, the trading strategies of portfolio are discussed.