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
它们采用“实物”复制，即买入相关指数的成份股，而非使用衍生品来实现基础股指的回报率。
They employ "physical" replication so they buy the constituents of each index rather than using derivatives to deliver the returns of each underlying benchmark.
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.
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.
应用推荐