Kelly模型及其在高频交易中的应用  

Kelly model and its application in high frequency trading

作　　者：罗勇[1] 朱波[2] 

机构地区：[1]宁波工程学院金融工程系,宁波315211 [2]西南财经大学金融学院,成都611130

出　　处：《系统工程理论与实践》2016年第3期569-580,共12页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71103146)~~

摘　　要：本文研究了在交易成本约束下的基金财富动态最优增长.我们建立了基于Kelly理论的投资组合模型,它能确保采用该模型的基金的财富长期沿最优路径增长.随着投资组合中资产数量增加,目标函数变得非常复杂,如果按照Kelly原始的表达方式,模型无法求解.本文利用大数定律与对数效用函数可加性推导了连续时间情形下投资组合中资产的最优资金配置比例,并分析了模型的性质和效用函数.基于期货市场高频数据的实证结果显示该模型具有较高实用价值.We investigate the problem of dynamic optimal capital growth of a portfolio under transaction costs constrained. A general framework that one strives to maximize the long term growth rate of its expected log utility was developed. However, when applying to portfolio management with many assets, optimization algorithms such as quadratic programming run into difficulties. In our research, we get the fraction for a portfolio in continuous time by combining law of large numbers and the additivity of the logarithm utility functions. Empirical research indicate that the approach is inspiring for this class of problems.

关 键 词：KELLY 资金增值 资产配置 投资组合优化 

分 类 号：F830.59[经济管理—金融学]