Method of Stock Index Futures Hedging Portfolio Risk Based on CAPM
Chen Sheng-tao · Journal of Jianghan Petroleum Institute · 2003
Stock investment is high profit economic activity with high risk. Starting from CAPM (Capital Assets Pricing Model) analysis, a new method for hedging portfolio risk with stock index futures is proposed. The method can be used to transfer market risks and expose the stock package of the hedger and partial profit related to market to the market risk.