A Position Decision Based On Modified Kelly Formula In Composite Perspective

In the background of frequent Black Swan incidents,risk aversion is the most concerned issue of investors.For the investment in the secondary market,the key is to control the position of ration risk assets and risk-free assets.For the meso level of the A-share market,position is the position structure of various industries or styles.A position management model for A-share market investment is formed by combining the overall position proportion of risk assets and the mesoscopic position structure.This paper is committed to using the basic model of Kelly formula.It is started from the basic academic papers and financial engineering research reports of market institutions.The paper summarizes the research results of previous generations on Kelly formula.In this paper,we first give the standard Kelly formula model,and use the standard Kelly formula model to prove the effectiveness of its application in A-share market.Further,through the deduction of the Kelly formula under the hypothesis of no distribution,the general Kelly formula model is obtained,and.The four style indexes of CITIC are taken as the target to build the portfolio,forming the medium-sized industry allocation strategy.Then the standard Kelly formula model under binomial distribution is used to control the overall position of risk assets.Finally,the two sub strategies are combined to form a position management strategy from a composite perspective.Through the evaluation of the back testing results of the quantitative investment strategy,according to the characteristics of the model,such as large withdrawal and insufficient risk control,part of Kelly's formula and risk measurement index are selected for optimization.According to the characteristics of the model that the use of Kelly's formula for the proportion allocation of risk assets is not effective,the traditional timing strategy is used to replace it.Finally,the Kelly's formula in the A-share market is given the optimal application scheme of the placement strategy.In this paper,the traditional static evaluation model is transformed into the dynamic position management model,and then the four style index data of CITIC in the past 15 years are tested back.The results show that the Kelly formula is very effective for the industry configuration and style configuration at the meso level of A-share market,while the overall allocation effect of the position ratio of risk assets in A-share market is general.