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 財務管理學系Department of Finance 畢業學年期Year, semester 100 學年度 第 2 學期The spring semester of Academic Year 100 語文別Language 英文English 學位類別Degree 碩士Master 頁數Number of pages 77 研究生Author 方宣喻Hsuan-Yu Fang 指導教授Advisor 召集委員Convenor 口試委員Advisory Committee 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 5926 次，被下載 904 次The thesis/dissertation has been browsed 5926 times, has been downloaded 904 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 iiABSTRACT iii1. INTRODUCTION 12. RELATED LITERATURES 103. METHODOLOGY 154. DATA 225. EMPIRICAL RESULTS 396. CONCLUSION 65REFERENCE 67
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