Python算法交易

298

｜

第

10

章

10.1.2

股票和指数里的凯利准则

现在我们假设在一个股票市场环境中，给定一个股票（指数）今天的已知价值，从

今天起的一年时间内，它只能有两个值。这样仍然是二项式的，但是这次在建模方

面更接近于股票市场的真实情况。

注

1

具体来说，假设：

1 The exposition follows Hung (2010).

Figure 10-2. Average capital over time for dierent values of

f

Kelly Criterion for Stocks and Indices

Assume now a stock market setting in which the relevant stock (index) can take on

only two values after a period of one year from today, given its known value today.

The setting is again binomial but this time a bit closer on the modeling side to stock

market realities.

1

Specifically, assume the following holds true:

P r

S

= μ + σ = P r

S

= μ − σ =

1

2

Here,  r

S

= μ >0 is the the expected return ...