仓位控制与风险管理（Position control and risk management）.docVIP

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仓位控制与风险管理（Position control and risk management）.doc

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仓位控制与风险管理（Position control and risk management）

仓位控制与风险管理（Position control and risk management） Position control and risk management I think the relationship between margin and position is the rate of accuracy * odds If the rate of accuracy increases under the same odds, increase the position or reduce the margin If the odds increase under the same accuracy, increase the position or reduce the margin Want to know the relationship more carefully, now re published two article explain The average rate of accuracy can be estimated by statistics. Under the established method of investment, the assumption is that the N investment is not mutually influenced, and the result is M Average =M/N. As the number of investments increases, the M/N will tend to a numerical accuracy If the N is large enough, the M/N= accuracy is P. ========= first =============== Dont underestimate the importance of mathematics, if master, can objectively make an informed decision. An example is given to demonstrate the application of mathematical mathematics to the risk return ratio Suppose there is an investment odds of K:1 (or K yuan, or lose $1), you have a prediction to make your investment favorable, accurate P, how much you should bet on each time? For a good prediction, greed will invest in most or all of the funds, revenue growth is very quick, but a defeat will be weakened or lose light. Rather timid will put a few funds, although the safety of growth, but the growth is slow. How to balance? Math can help you figure out the best answer The average increase of funds per set is P*ln (1+K*x) + (1-P) *ln (1-x) X is the proportion of the money invested X=P- (1-P) /K is available For example, 10 points to win 20 points (i.e. odds 2:1). Accuracy is 40% The optimal proportion of invested capital: x=0.40- (1-0.40) /2=10% That is, 10%. should be invested every time Another 10 points to win 20 points (i.e. odds 2:1). Accuracy of 30% The optimal proportion of invested capital: x=0.30- (1-0.30) /2=-5%0 That is not the long-term investment, or lose mo