{"id":"https://openalex.org/W2079192479","doi":"https://doi.org/10.1155/2014/325975","title":"A New Method for Setting Futures Portfolios\u2019 Maintenance Margins: Evidence from Chinese Commodity Futures Markets","display_name":"A New Method for Setting Futures Portfolios\u2019 Maintenance Margins: Evidence from Chinese Commodity Futures Markets","publication_year":2014,"publication_date":"2014-01-01","ids":{"openalex":"https://openalex.org/W2079192479","doi":"https://doi.org/10.1155/2014/325975","mag":"2079192479"},"language":"en","primary_location":{"id":"doi:10.1155/2014/325975","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2014/325975","pdf_url":"https://downloads.hindawi.com/journals/jam/2014/325975.pdf","source":{"id":"https://openalex.org/S190082376","display_name":"Journal of Applied Mathematics","issn_l":"1110-757X","issn":["1110-757X","1687-0042"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://downloads.hindawi.com/journals/jam/2014/325975.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5063247720","display_name":"Chi Xie","orcid":"https://orcid.org/0000-0003-3862-0224"},"institutions":[{"id":"https://openalex.org/I16609230","display_name":"Hunan University","ror":"https://ror.org/05htk5m33","country_code":"CN","type":"education","lineage":["https://openalex.org/I16609230"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Chi Xie","raw_affiliation_strings":["Center of Finance and Investment Management, Hunan University, Changsha 410082, China","College of Business Administration, Hunan University, Changsha 410082, China","Center of Finance and Investment Management, Hunan University - Changsha 410082, China","College of Business Administration, Hunan University - Changsha 410082, China"],"raw_orcid":"https://orcid.org/0000-0003-3862-0224","affiliations":[{"raw_affiliation_string":"Center of Finance and Investment Management, Hunan University, Changsha 410082, China","institution_ids":["https://openalex.org/I16609230"]},{"raw_affiliation_string":"College of Business Administration, Hunan University, Changsha 410082, China","institution_ids":["https://openalex.org/I16609230"]},{"raw_affiliation_string":"Center of Finance and Investment Management, Hunan University - Changsha 410082, China","institution_ids":["https://openalex.org/I16609230"]},{"raw_affiliation_string":"College of Business Administration, Hunan University - Changsha 410082, China","institution_ids":["https://openalex.org/I16609230"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5022181170","display_name":"Jiao-Jiao Yang","orcid":null},"institutions":[{"id":"https://openalex.org/I16609230","display_name":"Hunan University","ror":"https://ror.org/05htk5m33","country_code":"CN","type":"education","lineage":["https://openalex.org/I16609230"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jiao-Jiao Yang","raw_affiliation_strings":["College of Business Administration, Hunan University, Changsha 410082, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Business Administration, Hunan University, Changsha 410082, China","institution_ids":["https://openalex.org/I16609230"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5081288824","display_name":"Gang\u2010Jin Wang","orcid":"https://orcid.org/0000-0002-2813-4356"},"institutions":[{"id":"https://openalex.org/I16609230","display_name":"Hunan University","ror":"https://ror.org/05htk5m33","country_code":"CN","type":"education","lineage":["https://openalex.org/I16609230"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Gang-Jin Wang","raw_affiliation_strings":["Center of Finance and Investment Management, Hunan University, Changsha 410082, China","College of Business Administration, Hunan University, Changsha 410082, China","College of Business Administration, Hunan University - Changsha 410082, China","Center of Finance and Investment Management, Hunan University - Changsha 410082, China"],"raw_orcid":"https://orcid.org/0000-0002-2813-4356","affiliations":[{"raw_affiliation_string":"Center of Finance and Investment Management, Hunan University, Changsha 410082, China","institution_ids":["https://openalex.org/I16609230"]},{"raw_affiliation_string":"College of Business Administration, Hunan University, Changsha 410082, China","institution_ids":["https://openalex.org/I16609230"]},{"raw_affiliation_string":"College of Business Administration, Hunan University - Changsha 410082, China","institution_ids":["https://openalex.org/I16609230"]},{"raw_affiliation_string":"Center of Finance and Investment Management, Hunan University - Changsha 410082, China","institution_ids":["https://openalex.org/I16609230"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5081288824"],"corresponding_institution_ids":["https://openalex.org/I16609230"],"apc_list":{"value":1050,"currency":"USD","value_usd":1050},"apc_paid":{"value":1050,"currency":"USD","value_usd":1050},"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.14290878,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"2014","issue":null,"first_page":"1","last_page":"11"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.996999979019165,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9891999959945679,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.9072721004486084},{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.6910082101821899},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.658284068107605},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6105879545211792},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5455847978591919},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5177128314971924},{"id":"https://openalex.org/keywords/forward-market","display_name":"Forward market","score":0.4714544713497162},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3877066373825073},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3253461718559265}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.9072721004486084},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.6910082101821899},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.658284068107605},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6105879545211792},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5455847978591919},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5177128314971924},{"id":"https://openalex.org/C52837651","wikidata":"https://www.wikidata.org/wiki/Q5473279","display_name":"Forward market","level":3,"score":0.4714544713497162},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3877066373825073},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3253461718559265},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1155/2014/325975","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2014/325975","pdf_url":"https://downloads.hindawi.com/journals/jam/2014/325975.pdf","source":{"id":"https://openalex.org/S190082376","display_name":"Journal of Applied Mathematics","issn_l":"1110-757X","issn":["1110-757X","1687-0042"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:CULeuclid:euclid.jam/1425305619","is_oa":false,"landing_page_url":"https://projecteuclid.org/euclid.jam/1425305619","pdf_url":null,"source":{"id":"https://openalex.org/S4306400787","display_name":"Project Euclid (Cornell University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"pmh:oai:RePEc:hin:jnljam:325975","is_oa":false,"landing_page_url":"http://downloads.hindawi.com/journals/JAM/2014/325975.xml","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:doaj.org/article:d3194275897f4dbe94900eb63ee6eb10","is_oa":true,"landing_page_url":"https://doaj.org/article/d3194275897f4dbe94900eb63ee6eb10","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Applied Mathematics, Vol 2014 (2014)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.1155/2014/325975","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2014/325975","pdf_url":"https://downloads.hindawi.com/journals/jam/2014/325975.pdf","source":{"id":"https://openalex.org/S190082376","display_name":"Journal of Applied Mathematics","issn_l":"1110-757X","issn":["1110-757X","1687-0042"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Mathematics","raw_type":"journal-article"},"sustainable_development_goals":[{"display_name":"Decent work and economic growth","score":0.49000000953674316,"id":"https://metadata.un.org/sdg/8"}],"awards":[{"id":"https://openalex.org/G1720232184","display_name":null,"funder_award_id":"CX2013A006","funder_id":"https://openalex.org/F4320321106","funder_display_name":"Ministry of Education of the People's Republic of China"},{"id":"https://openalex.org/G1738620225","display_name":null,"funder_award_id":"71221001","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G2112194394","display_name":null,"funder_award_id":"71221001","funder_id":"https://openalex.org/F4320327720","funder_display_name":"Foundation for Innovative Research Groups of the National Natural Science Foundation of China"},{"id":"https://openalex.org/G3031946938","display_name":"\u590d\u6742\u91d1\u878d\u7f51\u7edc\u52a8\u6001\u6f14\u5316\u884c\u4e3a\u4e0e\u5371\u673a\u4f20\u67d3\u53ca\u5176\u63a7\u5236\u7814\u7a76","funder_award_id":"71373072","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3743432732","display_name":null,"funder_award_id":"20130161110031","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4059594578","display_name":null,"funder_award_id":"CX2013A006","funder_id":"https://openalex.org/F4320326217","funder_display_name":"Hunan Provincial Innovation Foundation for Postgraduate"},{"id":"https://openalex.org/G5169924119","display_name":null,"funder_award_id":"20130161110031","funder_id":"https://openalex.org/F4320336024","funder_display_name":"Specialized Research Fund for the Doctoral Program of Higher Education of China"},{"id":"https://openalex.org/G5189737235","display_name":null,"funder_award_id":"20130161110031","funder_id":"https://openalex.org/F4320321106","funder_display_name":"Ministry of Education of the People's Republic of China"},{"id":"https://openalex.org/G5328931542","display_name":null,"funder_award_id":"71373072","funder_id":"https://openalex.org/F4320321106","funder_display_name":"Ministry of Education of the People's Republic of China"},{"id":"https://openalex.org/G5852852065","display_name":null,"funder_award_id":"CX2013A006","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G6536063566","display_name":null,"funder_award_id":"71221001","funder_id":"https://openalex.org/F4320321106","funder_display_name":"Ministry of Education of the People's Republic of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321106","display_name":"Ministry of Education of the People's Republic of China","ror":"https://ror.org/01mv9t934"},{"id":"https://openalex.org/F4320322191","display_name":"Hunan University","ror":"https://ror.org/05htk5m33"},{"id":"https://openalex.org/F4320326217","display_name":"Hunan Provincial Innovation Foundation for Postgraduate","ror":null},{"id":"https://openalex.org/F4320327720","display_name":"Foundation for Innovative Research Groups of the National Natural Science Foundation of China","ror":null},{"id":"https://openalex.org/F4320335787","display_name":"Fundamental Research Funds for the Central Universities","ror":null},{"id":"https://openalex.org/F4320336024","display_name":"Specialized Research Fund for the Doctoral Program of Higher Education of China","ror":null}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2079192479.pdf","grobid_xml":"https://content.openalex.org/works/W2079192479.grobid-xml"},"referenced_works_count":24,"referenced_works":["https://openalex.org/W1829300363","https://openalex.org/W1990340489","https://openalex.org/W1999029409","https://openalex.org/W2019199024","https://openalex.org/W2024214085","https://openalex.org/W2028656072","https://openalex.org/W2036983007","https://openalex.org/W2037593253","https://openalex.org/W2048185457","https://openalex.org/W2057110654","https://openalex.org/W2078136871","https://openalex.org/W2087219598","https://openalex.org/W2090499758","https://openalex.org/W2105741553","https://openalex.org/W2109122936","https://openalex.org/W2114927293","https://openalex.org/W2123252357","https://openalex.org/W2131412899","https://openalex.org/W2148323572","https://openalex.org/W2385147519","https://openalex.org/W2480722757","https://openalex.org/W3122046970","https://openalex.org/W3123988513","https://openalex.org/W3125944807"],"related_works":["https://openalex.org/W620250300","https://openalex.org/W4210388326","https://openalex.org/W3122335379","https://openalex.org/W1539889627","https://openalex.org/W2065823200","https://openalex.org/W2089215424","https://openalex.org/W4396766618","https://openalex.org/W2077727044","https://openalex.org/W2033406204","https://openalex.org/W3175555260"],"abstract_inverted_index":{"The":[0,139],"Chinese":[1],"commodity":[2],"futures":[3,15,21,65,79,158,196],"markets":[4],"neglect":[5],"the":[6,9,36,47,51,57,70,88,98,103,110,113,119,122,127,133,144,150,161,165,171,176,182,195],"existence":[7],"of":[8,78,112,121,126,132,153,157],"risk":[10,60],"hedge":[11],"and":[12,56,81,102,164,191],"diversification":[13],"between":[14],"contracts,":[16],"thus":[17],"leading":[18],"to":[19,63,108,188],"overcharge":[20],"portfolio":[22],"holders\u2019":[23],"maintenance":[24,67,84],"margins.":[25,68],"To":[26],"this":[27,29],"end,":[28],"paper":[30],"proposes":[31],"a":[32],"new":[33,89,128,145],"method,":[34,40],"namely,":[35,97],"multivariate":[37,48],"t":[38,49],"-Copula-POT-PSRM":[39],"which":[41,179],"combines":[42],"three":[43],"models,":[44],"that":[45,143,181],"is,":[46],"-Copula,":[50],"peaks":[52],"over":[53],"threshold":[54],"(POT),":[55],"power":[58],"spectral":[59],"measures":[61],"(PSRM),":[62],"set":[64,82],"portfolios\u2019":[66],"In":[69],"empirical":[71,140],"analysis,":[72],"we":[73,92],"first":[74],"construct":[75],"four":[76,155],"kinds":[77,156],"portfolios":[80,159],"their":[83],"margins":[85],"by":[86],"using":[87],"method.":[90,115],"Then,":[91],"introduce":[93],"two":[94,123],"evaluation":[95,124],"indicators,":[96],"prudence":[99],"index":[100,106],"(PI)":[101],"opportunity":[104],"cost":[105],"(OCI),":[107],"assess":[109],"effectiveness":[111],"proposed":[114,183],"We":[116],"also":[117],"compare":[118],"outcomes":[120],"indicators":[125],"method":[129,146,184],"with":[130],"those":[131],"widely":[134],"used":[135,187],"linear":[136],"additive":[137],"model.":[138],"results":[141],"show":[142],"can,":[147],"respectively,":[148],"lower":[149],"OCI":[151],"value":[152,173],"all":[154],"for":[160],"In-sample":[162],"period":[163,167],"Out-of-sample":[166],"without":[168],"significantly":[169],"reducing":[170],"PI":[172],"as":[174],"against":[175],"traditional":[177],"model,":[178],"implies":[180],"can":[185],"be":[186],"balance":[189],"security":[190],"investment":[192],"efficiency":[193],"in":[194],"market.":[197]},"counts_by_year":[],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}