Research Article
A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Futures Markets
Table 6
Effectiveness of our method under different relative risk aversion coefficients.
| | Interval | | PI | OCI |
| Portfolio A | In-sample | 0.5 | 0.9674 | 0.0627 | 0.6 | 0.9832 | 0.0671 | 0.7 | 1.0000 | 0.0778 | 0.8 | 1.0000 | 0.0815 | 0.9 | 1.0000 | 0.0860 | Out-of-sample | 0.5 | 0.9476 | 0.0501 | 0.6 | 0.9657 | 0.0615 | 0.7 | 0.9983 | 0.0709 | 0.8 | 0.9994 | 0.0810 | 0.9 | 1.0000 | 0.0852 |
| Portfolio B | In-sample | 0.5 | 0.9356 | 0.0684 | 0.6 | 0.9474 | 0.0575 | 0.7 | 0.9792 | 0.06844 | 0.8 | 1.0000 | 0.0858 | 0.9 | 1.0000 | 0.0893 | Out-of-sample | 0.5 | 0.9364 | 0.0674 | 0.6 | 0.9582 | 0.0797 | 0.7 | 0.9993 | 0.0847 | 0.8 | 0.9995 | 0.0889 | 0.9 | 1.0000 | 0.0904 |
| Portfolio C | In-sample | 0.5 | 0.9467 | 0.0649 | 0.6 | 0.9770 | 0.0666 | 0.7 | 0.9867 | 0.0748 | 0.8 | 1.0000 | 0.0806 | 0.9 | 1.0000 | 0.0835 | Out-of-sample | 0.5 | 0.9476 | 0.0501 | 0.6 | 0.9657 | 0.0615 | 0.7 | 0.9845 | 0.0694 | 0.8 | 0.9906 | 0.0795 | 0.9 | 1.0000 | 0.0847 |
| Portfolio D | In-sample | 0.5 | 0.9575 | 0.0585 | 0.6 | 0.9807 | 0.0697 | 0.7 | 0.9897 | 0.0745 | 0.8 | 1.0000 | 0.0873 | 0.9 | 1.0000 | 0.0906 | Out-of-sample | 0.5 | 0.9578 | 0.0567 | 0.6 | 0.9667 | 0.0675 | 0.7 | 0.9975 | 0.0693 | 0.8 | 0.9981 | 0.0795 | 0.9 | 1.0000 | 0.0814 |
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Notes: stands for the relative risk aversion coefficient.
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