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博碩士論文 etd-0620112-151854 詳細資訊
Title page for etd-0620112-151854
論文名稱
Title
凱利法則下的槓桿交易策略
Leverage Trading Strategy of the Kelly Criterion
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
77
研究生
Author
指導教授
Advisor
召集委員
Convenor
郭修仁
Kuo,Hsioujen
口試委員
Advisory Committee
李建強
Lee Chien-Chiang
口試日期
Date of Exam
2012-06-12
繳交日期
Date of Submission
2012-06-20
關鍵字
Keywords
凱利策略、半凱利策略、槓桿型ETF、ARMA-EGARCH模型、標準普爾500指數
Leveraged ETFs, Kelly Strategy, Half Kelly, S&P 500 index, ARMA-EGARCH
統計
Statistics
本論文已被瀏覽 5870 次,被下載 902
The thesis/dissertation has been browsed 5870 times, has been downloaded 902 times.
中文摘要
隨著市場上金融創新的日新月異,越來越多的交易者應用商品的槓桿操作,在追求那令人稱羨超額報酬。在理論和實務上,凱利策略是一個頗具盛名但也有相當爭議的操作方法。其核心概念為極大化資本的長期成長率,在過去的歷史上被稱之為凱利準則,甚至被稱之為財富的公式。凱利準則為報酬率和風險的抵換關係,用來決定每次交易操作的槓桿或者是部位的大小。在實證方法上,我們分別報酬的對殘差分配使用 Normal , Generalized Hyperbolic , Generalized Error 這三種不同假設的EGARCH模型,並用其報酬的條件平均數和變異數計算預期的最適操作槓桿。在實務上,資金操作的風險管理比起交易策略是否有擇時能力來的更為重要。因此在本文中我們使用市場上S&P 500 指數的槓桿型ETF 回測了凱利策略在過去十年的表現和風險管理的控制以及其不同策略之間的比較。
Abstract
While the much more use of leverage could be effective in generating alpha o investment, the Kelly strategy is an attractive approach to capital creation and growth. It is originated from the Kelly criterion dubbed “ fortunes formula “ which maximizes the long run growth rate of wealth. There is a tradeoff of rate of return versus risk/volatility as a asymptotic function solution of leverage or position size determined by the application of EGARCH model in the different residual assumptions given by the Normal, Generalized Hyperbolic, and the Generalized Error distributions. No matter there is any timing ability in any strategy, risk management is much more important especially with many repeated trading. We present the performance and risk control of the leveraged ETFs tracked the S&P 500 index in the past ten years using optimal leverage strategy derived by the full Kelly and fraction Kelly criterion.
目次 Table of Contents
中文摘要 ii
ABSTRACT iii
1. INTRODUCTION 1
2. RELATED LITERATURES 10
3. METHODOLOGY 15
4. DATA 22
5. EMPIRICAL RESULTS 39
6. CONCLUSION 65
REFERENCE 67
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