Research Of Investment Strategy In The "Minimum Investment Model" On The Basis Of The Kelly Formula

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.