Research On Optimal Capital Allocation Based On Kelly Formula

With the rapid development of computer technology,the concept of quantitative investment is more and more accepted by investors in the financial field of our country.Based on the historical stock price data of Haier group in stock market,this paper tests several quantitative investment strategies,and compares the advantages and disadvantages of various strategies,and finally chooses the selling point according to the price line and the simple moving average of 10 days.In this paper,we study the Kelly formula under a single asset,and conduct the research by using the gambling game as the basic model framework of the two distributed gambling game,and deduce the Kelly formula.Next,we study the Kelly optimal allocation of portfolio,and study the Kelly optimal solution of general portfolio and the Kelly optimal solution of two kinds of risk assets portfolio.In the financial market,when we want to use Kelly's formula to determine the optimal capital allocation ratio,we will find that we cannot calculate the optimal position of investment by formula.In view of this problem,this paper introduces a continuous model to replace the discrete model in the original Kelly formula.This paper chooses Haier group stock price data of nearly 4 years,the use of price line and 10 day simple moving average to determine the point of purchase,selling point,calculated the probability of winning each sale,the odds,which is Kelly optimal allocation ratio,then use the ratio and other random proportion back test together comprehensive measure,the risks and benefits,the proportion of Kelly can optimize the investment effect,so that it is the practical value of the actual investment.Then the profit factor and loss factor set a profit,the probability of profit and loss,as the proportion of Kelly,the idea of using simulation can simulate the investors use different investment proportion in the investment process repeated 10000 times,a total of 226 round final Kelly simulation,the optimal investment proportion of the fastest growth rate of wealth,wealth and get the value of the final the largest,also to study the stop after the proportion of investment performance.