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J4 ›› 2013, Vol. 48 ›› Issue (05): 97-104.

• 前沿进展 • 上一篇    下一篇

赌博策略及其在资金管理中的应用

隋圆圆,杨维强*   

  1. 山东大学数学学院, 山东 济南 250100
  • 收稿日期:2012-10-28 出版日期:2013-05-20 发布日期:2013-05-10
  • 通讯作者: 杨维强(1976- ),男,讲师,研究方向为金融数学与金融工程. Email:ywq@sdu.edu.cn
  • 作者简介:隋圆圆(1982- ),女,博士研究生,研究方向为金融数学与金融工程. Email: yuanysui2006@163.com
  • 基金资助:

    国家重点基础研究发展计划项目(2007CB814906);山东省科技发展计划项目(2011YD01105)

Gambling strategies with their applications in money management systems

SUI Yuan-yuan, YANG Wei-qiang*   

  1. School of Mathematics, Shandong University, Jinan 250100, Shandong, China
  • Received:2012-10-28 Online:2013-05-20 Published:2013-05-10

摘要:

 研究了倍注、斐波那契下注和风险百分比控制策略的收益率和破产风险,并对它们在资金管理中的应用作出分析和比较。结果表明,对具有正期望收益的交易系统,风险百分比控制策略能更好地实现盈利,但它并不适用于具有负期望收益的交易系统;当交易系统的回报率大于1618时,如果可以控制最大连续亏损次数,那么选择合适的开仓数量上限和周期盈利阈值,斐波那契策略便可以有效地确保利润并避免破产风险。

关键词: 反)鞅策略;倍注策略;斐波那契下注策略;风险百分比控制;最大资金回撤

Abstract:

The profit and risk of ruin were studied for some gambling strategies, such as the doubling bets strategy, Fibonacci betting strategy and the exposure controlling strategy. Moreover, the applications of these strategies in the money management systems were also analyzed and compared. The exposure controlling strategy is most profitable for the trading systems with positive expectations, but if used in the trading systems with negative expectations, it will not be profitable at all. However, Fibonacci betting strategy with appropriate position limit and threshold for periodic profits can ensure profit and avoid the risk of ruin effectively when the payoff ratio of a trading system is greater than 1.618 and the maximal consecutive loss count is well controlled.

Key words: (anti-)martingale strategy; doubling bets strategy; Fibonacci betting strategy; exposure control; retracement

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