导　　师： 梁满发

学科专业： 070103

授予学位： 硕士

作　　者： ;

机构地区： 华南理工大学

摘　　要： 量化投资是近年来国际兴起的新投资理念，在我国处于启蒙阶段。如何设计低风险高收益的投资模型与策略，是金融研究的理论界和金融投资实业界最关心的问题。“极小投资模型”是基于“地量见地价”这一历史经验提出来的量化投资的新模型，通过此模型能够很好的为投资者抓住买点。 现代的投资策略研究大多都是基于Markowitz在1952年提出的均值-方差模型，本文则是从另外一个视角出发，基于美国贝尔实验室工程师Kelly提出的“资金增长最快的投资比例”理论进行投资策略研究。 本文将Kelly公式作为基础，“极小投资模型”作为投资工具，在长期投资中，将投资者资金的增长速度最快作为选择投资策略的评判标准，得到适用于“极小投资模型”的最优投资比例策略，得出一些具有实际价值的投资理论。 本文首先从投资单一资产出发，利用收益率服从二项分布的“赌局博弈”模型介绍Kelly公式的基本原理，并验证其长期最优性。接着，研究了资产组合下的Kelly公式，给出计算Kelly公式最优投资比例的一般化方程表达式。由于此表达式难以求解，实际应用意义不大，本文讨论了在一个特定的资产相互独立且收益率服从于同一二项分布的资产组合下的Kelly公式，推导并得出其求解过程。 最后，选取首创股份股票历史数据，利用大智慧系统测试平台测试出“极小投资模型”的买点，计算了交易过程中的每次投资平均胜率和负率，并计算了投资胜后回报率和失败的回报率。以此数据作为模型博弈参数，运用论文结论进行了模型的最佳投注比例计算，得出对投资有实际价值的结论。 Quantitative investment is a new investment philosophy rised by the internationalrecently, in our country, it is in the initial stage. and the most concerned issue of the financeresearch theory and financial investment business is that how to design a low risk high returninvestment model and strategy.'Minimum investment model' is a new model of quantitativeinvestment proposed based on the the historical experience 'land volume to see land price',through this model the investors can be well to seize the buy point. The modern investment strategy research are mostly based on the mean-variance modelwhich is rised by Markowitz in1952, this paper is from another perspective, and researchinvestment strategy based on the theory that 'capital of the fastest growing proportion ofinvestment' which is put forward by the United States Baer Lab engineers Kelly. This paper will take Kelly formula as the basis, and take minimal investment model as aninvestment tool, on the condition of long-term investment, in order to get the optimalproportion investment strategy which is suitable for the minimall investment model, andchoose the fastest growing investor funds as the investment strategies of the evaluationstandard, and draw some valuable investment theory. In this paper from invest a single asset, use the 'betting game' model which yield obeythe binomial distribution to introduce the basic principle of Kelly formula, and to verify thelong-term optimal. Next, research Kelly formula under portfolio, and the calculation formulaof Kelly optimal investment proportion of general expression of the equations. as thisexpression is difficult to solve, the actual application of little significance, this articlediscussed in a particular asset are independent of each other and yield obey the same binomialdistribution of the portfolio under Kelly formula is derived, and obtain the solution process. Finally, select the historical data of Shouchuang stock, and use the system test platformof Dazhihui to test out the buy point of minimum investment model, and calculated the thetransaction process each investment average winning percentage and the negative. Andcalculed the investment rate of return and the victory of the failure rate of return. Take thisdata as a game model parameters, using the conclusion of the model with the best betting ratiocalculation,draw on some valueable invest conclusion.

关 键 词： 公式 量化投资 长期投资

分 类 号： [F224 F830.59]

领　　域： [经济管理] [经济管理]