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The Journal of Derivatives

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Can the Improved CMBO Strategies Beat the CMBO Index?

Wei-Han Liu and Jow-Ran Chang
The Journal of Derivatives Spring 2021, 28 (3) 163-183; DOI: https://doi.org/10.3905/jod.2020.1.121
Wei-Han Liu
is an associate professor of finance at Southern University of Science and Technology in Guangdong, China
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  • For correspondence: weihanliu2002@yahoo.com
Jow-Ran Chang
is a professor of finance at National Tsing Hua University in Hsinchu, Taiwan, ROC
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  • For correspondence: jrchang@mx.nthu.edu.tw
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The Journal of Derivatives: 28 (3)
The Journal of Derivatives
Vol. 28, Issue 3
Spring 2021
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Can the Improved CMBO Strategies Beat the CMBO Index?
Wei-Han Liu, Jow-Ran Chang
The Journal of Derivatives Feb 2021, 28 (3) 163-183; DOI: 10.3905/jod.2020.1.121

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Can the Improved CMBO Strategies Beat the CMBO Index?
Wei-Han Liu, Jow-Ran Chang
The Journal of Derivatives Feb 2021, 28 (3) 163-183; DOI: 10.3905/jod.2020.1.121
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  • Article
    • Abstract
    • DISCUSSION OF CMBO STRATEGY
    • STRATEGY PORTFOLIO CONSTRUCTION
    • PERFORMANCE COMPARISON
    • CONCLUSION
    • ACKNOWLEDGMENT
    • ENDNOTES
    • REFERENCES
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