We have to investigate in index replication because the spot-future arbitrage has to buy or sell spot portfolios.
期现套利要买卖现货,这就提出了指数复制的问题。 期现套利又分为正向套利和反向套利。
参考来源 - 若干指数复制方法及其实证研究 （研究生论文）·2,447,543篇论文数据，部分数据来源于NoteExpress
为在期现套利中赢得一席之地，就必须拥有优异的指数复制方法。
Excellent index tracking strategy would help winning a place in the future-stock arbitrage.
文章通过研究在发现套利机会后，以追踪误差最小化为目标建立指数复制的问题及其数学模型。
The paper concerns on the index replication problem after arbitrage opportunity are owned, and then a mathematical model is established to aim at minimizing tracking error.
银行现在必须管理复制指数所带来的风险，提供者则面临银行可能会破产倒闭的风险。
The bank now has to manage the risk of replicating the index; the provider faces the risk that the bank might go bust.
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