Research Article
A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Futures Markets
Table 1
Allocation of the gross position for four kinds of Futures Portfolios.
| | Futures Portfolio | Futures contracts | Commodity futures exchange | Long position | Short position |
| | Portfolio A | Number 1 Soybeans | DCE | 4/9 | 0 | | Copper Cathode | SHFE | 0 | 3/9 | | Cotton | ZCE | 2/9 | 0 |
| | Portfolio B | Number 1 Soybeans | DCE | 4/9 | 0 | | Copper Cathode | SHFE | 0 | 3/9 | | Crude Soybean Oil | DCE | 2/9 | 0 |
| | Portfolio C | Copper Cathode | SHFE | 4/9 | 0 | | Cotton | ZCE | 0 | 3/9 | | Crude Soybean Oil | DCE | 2/9 | 0 |
| | Portfolio D | Number 1 Soybeans | DCE | 4/9 | 0 | | Cotton | ZCE | 0 | 3/9 | | Crude Soybean Oil | DCE | 2/9 | 0 |
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