发帖
雷达卡
摘要翻译：
我们研究了凯利策略在构建最优资产组合中的应用。对于对数分布的资产收益，我们得到了各种情况下最优投资份额的近似解析结果。证明了当资产的平均收益和挥发率较小时，且不存在无风险资产时，Kelly-最优投资组合位于Markowitz有效前沿。由于在所调查的案例中，凯利方法禁止空头头寸和借款，通常只有一小部分可用资产被包括在凯利最优投资组合中。这种现象，我们称之为凝结，在各种模型场景中进行了分析研究。
---
英文标题：
《Analysis of Kelly-optimal portfolios》
---
作者：
Paolo Laureti, Matus Medo, Yi-Cheng Zhang
---
最新提交年份：
2009
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--
---
英文摘要：
We investigate the use of Kelly's strategy in the construction of an optimal portfolio of assets. For lognormally distributed asset returns, we derive approximate analytical results for the optimal investment fractions in various settings. We show that when mean returns and volatilities of the assets are small and there is no risk-free asset, the Kelly-optimal portfolio lies on Markowitz Efficient Frontier. Since in the investigated case the Kelly approach forbids short positions and borrowing, often only a small fraction of the available assets is included in the Kelly-optimal portfolio. This phenomenon, that we call condensation, is studied analytically in various model scenarios.
---
PDF链接：
https://arxiv.org/pdf/0712.2771
京公网安备 11010802022788号
