期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

基于股价服从对数正态分布的凯利投资策略 被引量：4

The Investment Strategy of Kelly Criterion Based on the Stock Price Following Lognormal Distribution
下载PDF
导出
摘要 基于集中投资策略的思想,把股票价格服从对数正态分布与凯利优化模型相结合,使其能更好地运用于股票投资实践中,推导出投资者个股投资的资产配置比例与投资者对个股投资收益率和标准差预测值之间的数学关系,从而实现最快财富增长速率的目标. Based on the idea of centralized investment strategy, we combined the stock price following lognormal distri- bution with Kelly Criterion, so that it can be used in stock investment more effectively. In order to achieve the fastest wealth growth rate, we deduced the mathematical relationship between the optimal investment proportion and the expectation return and standard deviation of a stock.
作者 陆士杰 杨朝军
机构地区 上海交通大学安泰经济与管理学院
出处 《经济数学》 2013年第3期40-45,共6页 Journal of Quantitative Economics
关键词 凯利优化模型 对数正态分布 最优投资比例 财富增长速率 Kelly Criterion lognormal distribution optimal investment proportion wealth growth rate
分类号 F830.59 [经济管理—金融学]
  • 相关文献

参考文献17

  • 1J L KELLY. A new interpretation of information rate[J]. Bell System Technical Journal, 1956, 35:917-926.
  • 2L BREIMAN. Optimal gambling systems for favorable games [J]. Fourth Berkeley Symposium on Probability and Statis-tics, 1961,1:65-78.
  • 3E O THORP. Beat The Dealer[M]. 2nd Ed. New York: Vin- tage, 1966.
  • 4E O THORP. Optimal gambling systems for favorable games [J]. Review of the International Statistical Institute, 1969,37 (3) :273-293. E.
  • 5E O THORP. Portfolio choice and the Kelly criterion. Pro- ceedings of the 1971[J]. Business and Economics Section of the American Statistical Association, 1972,4 : 215- 224.
  • 6L M ROTANDO, E O THORP. The Kelly Criterion and the Stock Market [J]. The American Mathematical Monthly, 1992,99:922-931.
  • 7W T ZIEMBA. The symmetric downside risk Sharpe ratio and the evaluation of great investors and speculators[J]. Journal of Portfolio Management Fall, 2005,3 : 108- 122.
  • 8J FULLER. Optimize your portfolio with the Kelly formula [EB/OL]. [2006- 10- 06]. Morningstar. corn, http ://news. morningstar, com/artielenet/article, aspx? id: 174562.
  • 9E LEE. How to calculate the Kelly formula[EB/OL]. [2006- 10- 31]. Fool. corn, http://www, fool. corn/investing/val- ue/ 2006 / 10/31/how-to-calculate-t he-kelly-formula, aspx.
  • 10W POUNDSTONE. Fortune's formula: the untold story of the scientific system that beat the casinos and wall street[M]. New York: Farrar, Straus and Giroux, 2005.

同被引文献31

  • 1王娟.我国股票指数收益的正态性分析[J].江西教育学院学报,2004,25(6):62-65. 被引量：1
  • 2薛跃,韩之俊,温素彬.上市公司财务比率正态分布特性的实证分析[J].管理工程学报,2005,19(2):143-145. 被引量：16
  • 3金俊,李俊.上海股票市场收益率正态性分析[J].沿海企业与科技,2005(11):54-54. 被引量：1
  • 4Rukhin A L. Estimated loss and admissible loss estimators [ J ]. Proceedings of Forth Purdue Symposium on Decision Theory, 1987 ( 1 ) :365-375.
  • 5Ruppert D. Statistics and data analysis for financial engi- neering [ M]. New York:Springer,2011.
  • 6J. Kelly. A new interpretation of the information rate [ J ]. Bell System Technical Journal, 1956, (917) :926.
  • 7E. Thorp. The kelly criterion in blackjack, sports betting and the stock market. In S. A. Zenios and W. T. Ziem- ba, editors, Handbook of Asset and Liabihty, Manage- ment, volume 1 of Handbook in Finance[ M]. North Hol- land, 2006:77 - 91.
  • 8L. MacLean, E. Thorp, and W.T. Ziemba. Long- term capital growth: The good and bad properties of the kelly criterion [ M ]. Quantitative Finance, September,2010.
  • 9M. H. A. Davis and S. Lleo. Fractional kelly strategies for benchmarked asset management. In L. C. MacLean, E.O. Thorp, and W. T. Ziemba, editors, The Kelly Capital Growth Investment Criterion: Theory and Practice [ M ]. World Scientific, 2010 : 127 - 152.
  • 10Jacquier E, Polson N G. Asset allocation in finance: A bayesian perspective [ J ]. Hierarchinal models and MC- MC: a Tribute to Adrian Smith, 2012:56 -59.

引证文献4

二级引证文献3

经济数学
2013年 第3期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部