英文标题：
《Dynamic Index Tracking and Risk Exposure Control Using Derivatives》
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作者：
Tim Leung and Brian Ward
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最新提交年份：
2017
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英文摘要：
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of derivatives in order to gain exposure to an index and/or market factors that may be not directly tradable. Among our results, we establish a general tracking condition that relates the portfolio drift to the desired exposure coefficients under any given model. We also derive a slippage process that reveals how the portfolio return deviates from the targeted return. In our multi-factor setting, the portfolio\'s realized slippage depends not only on the realized variance of the index, but also the realized covariance among the index and factors. We implement our trading strategies under a number of models, and compare the tracking strategies and performances when using different derivatives, such as futures and options.
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中文摘要：
我们开发了一种利用金融衍生品进行指数跟踪和风险敞口控制的方法。在价格演变的连续时间扩散框架下，我们提出了一种构建动态衍生品投资组合的路径方法，以获得可能无法直接交易的指数和/或市场因素的敞口。在我们的结果中，我们建立了一个一般的跟踪条件，该条件将投资组合漂移与任何给定模型下的期望敞口系数联系起来。我们还推导了一个滑动过程，该过程揭示了投资组合回报如何偏离目标回报。在我们的多因素设置中，投资组合的已实现滑动不仅取决于指数的已实现方差，还取决于指数和因素之间的已实现协方差。我们在许多模型下实施交易策略，并比较使用不同衍生品（如期货和期权）时的跟踪策略和绩效。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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