基于股价服从对数正态分布的凯利投资策略  

The Investment Strategy of Kelly Criterion Based on the Stock Price Following Lognormal Distribution

作　　者：陆士杰[1] 杨朝军[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《经济数学》2013年第3期40-45,共6页Journal of Quantitative Economics

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.

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 

分 类 号：F830.59[经济管理—金融学]