| Summary: | 碩士 === 中原大學 === 工業工程研究所 === 92 === When the market experiences recession and the interest rate for saving deposit drops
gradually, we keep trying to find out some alternative investment opportunities. According
to the key findings in this thesis,we not only try to find good investment
opportunities with the help of derivatives, but also draw up a strategy which is independent
of stock market and has better returns than saving deposit. We search for
such opportunities by investigating the difference between the market index and the
future index. This difference is so called basis.
We developed a stochastic process by using a two-dimensional Ito process to
describe the dynamic of the basis in which the maturity effects are embedded. When
basis is bigger than the decided extremes from the distribution, we made a change of
transaction between the market and the future index. For the market index, we set
up a linear program to determine a portfolio a portfolio, which is linked to the market
index changes, and we can benefit by utilizing this portfolio. We also demonstrated
our approaches by using the data obtained from the local market.
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