单项投资过程的仓位控制——基于凯利公式的进一步研究与分析

Position control in single investment process --Further research and analysis based on Kelly formula

本文依据约翰·拉里·凯利对单项赌局建立的盈利函数模型,提出了最优投资率的概念,建立了仓位控制下的单项投资的几何平均收益率函数模型,依据该函数模型分析证实投资存在最优投资率。求解最优投资率及最大几何平均收益率。

Based on the profit function model established by John Larry Kelly on the single gambling, this paper puts forward the concept of optimal investment rate, establishes the geometric average return function model of single investment portfolios under position control. According to the function model, it is proved that there is an optimal in- vestment rate. The optimal investment rate and The maximum geometric average rate of return is solved.