Kelly-CVaR模型在大类资产配置中的应用

Application of Kelly-CVaR Model to Asset Allocation

将CVaR方法和Kelly公式结合起来,建立了Kelly-CVaR模型,在CVaR控制风险的前提下,使用Kelly公式的思路配置资产,即在确保组合净值的平均损失率不超过给定水平的前提下,最大化资产增值率;运用Kelly-CVaR模型对中证全指、中证全债和Wind商品指数进行资产配置实证,回测期为2007-01-01到2016-12-31,3个月换仓一次,回测结果显示,根据模型配置的投资组合取得的收益率显著超过了各资产的收益率,并且夏普比率也要高于各资产,说明模型具有良好的资产配置效果。

Based on the CVaR method and Kelly formula,this article proposes the Kelly-CVaR model and applies it to asset allocation. The new model use the Kelly formula to allocate assets on the premise of using CVaR to control risk. It aims to maximize the capital appreciation ratio,on the condition that the average loss of portfolio’s net value does not exceed a given level. Kelly-CVaR model is used to allocate CSI All Share Index,CSI Aggregate Bond Index and Wind Commodity Index with a test period from January 1,2007 to December 31 2016. Every 3 months the weight of each asset is adjusted. The result shows that the yield and Sharp ratio of portfolio exceed each asset,which means the Kelly-CVaR model can achieve good results in asset allocation.