Research On Dynamic Fund Management Strategy Under Kelly Criterion

This paper studies the method of long-term continuous investment income for investors in the domestic market.After comparative research,the Kelly criterion is selected as the theoretical basis of strategy.The two key parameters in the formula are the expected rate of return and the expected volatility of return.This paper systematically compares a variety of methods for predicting volatility and proposes two improvements to the original strategy model: using the volatility calculated by the implied volatility of options as a prediction parameter to replace the historical volatility;the proportion of funds is dynamically adjusted with cumulative probability advantage day by day rather than maintaining a static proportion for a long time.Then,through the empirical results,the effectiveness of the improved Kelly dynamic fund management strategy(the Kelly strategy)in the domestic stock index market is analyzed.In the empirical process,the Shanghai 50 index,the Shanghai and Shenzhen300 index,and the Shanghai and Shenzhen 300 index futures are selected as the research objects.By building the analysis framework,the multi-dimensional parameter combination and measurement index are constructed,and the group comparison research is carried out.In the spot market,the effectiveness of the Kelly strategy under different methods such as the historical volatility method,BS model implied volatility method and variance swap model-free implied volatility method is investigated.The strategy differences under different value levels of options such as ATM,OTM,and ITM options under the BS implied volatility method are further investigated.The strategy of strengthening the yield parameters by mean reversion is additionally examined.In addition,in the futures market,the effectiveness of Kelly ’s strategy is verified by synthesizing simulated continuous futures,and the impact of leverage on the strategy is further analyzed.The main conclusions are as follows: in the domestic spot and futures markets,the improved Kelly dynamic fund management strategy is superior to the long-term holding strategy,and the option implied volatility method can improve the effectiveness of the Kelly strategy.The multi-group strategy research methods and results in the empirical process provide some research ideas and reference value for the application and strategy selection of the Kelly criterion in various scenarios.