vix搭配portfolio的策略? - 股票

By Leila
at 2019-08-23T15:55
at 2019-08-23T15:55
Table of Contents
最近念投資組合有個靈感
有一個公式如下
假定給定歷史的covariance matrix(dim: N)
我可以用以下公式 ω* = (Ω^-1 Ⅰ ) / Ⅰ^T Ω^-1 Ⅰ
ω* 是最佳投資組合的 weights vector
Ω 是 ex post的 共關聯矩陣
Ⅰ^T = (1 1 .....1) 共 N個 1
如果要預測未來的市場投資組合 勢必要知道 未來的 Ω的演化方程式
不知道 VIX有可能用來推測Ω未來30天怎麼變化?
VIX 是從期貨推來的
應該也會有個期貨的 Ω吧??
故有此疑問
感謝解惑和討論!!!
m(_ _)m
--
Tags:
股票
All Comments

By Agatha
at 2019-08-26T00:02
at 2019-08-26T00:02

By Emily
at 2019-08-27T07:00
at 2019-08-27T07:00

By Wallis
at 2019-08-28T11:45
at 2019-08-28T11:45

By Quintina
at 2019-08-31T01:09
at 2019-08-31T01:09

By Carolina Franco
at 2019-09-03T05:07
at 2019-09-03T05:07

By Mary
at 2019-09-08T03:08
at 2019-09-08T03:08

By Erin
at 2019-09-12T08:26
at 2019-09-12T08:26

By Candice
at 2019-09-13T12:33
at 2019-09-13T12:33

By Eden
at 2019-09-16T23:45
at 2019-09-16T23:45

By Adele
at 2019-09-21T21:41
at 2019-09-21T21:41

By Sandy
at 2019-09-23T21:40
at 2019-09-23T21:40

By Joe
at 2019-09-26T09:25
at 2019-09-26T09:25

By Jacob
at 2019-09-29T04:11
at 2019-09-29T04:11

By Ivy
at 2019-09-30T16:14
at 2019-09-30T16:14

By Franklin
at 2019-10-01T03:49
at 2019-10-01T03:49

By Kumar
at 2019-10-01T22:07
at 2019-10-01T22:07

By Skylar Davis
at 2019-10-02T13:48
at 2019-10-02T13:48

By Barb Cronin
at 2019-10-05T15:24
at 2019-10-05T15:24

By Sierra Rose
at 2019-10-05T17:28
at 2019-10-05T17:28

By Faithe
at 2019-10-07T00:28
at 2019-10-07T00:28

By Kyle
at 2019-10-11T08:30
at 2019-10-11T08:30

By Jessica
at 2019-10-14T07:29
at 2019-10-14T07:29

By Kelly
at 2019-10-16T10:50
at 2019-10-16T10:50

By Elvira
at 2019-10-19T17:05
at 2019-10-19T17:05

By Yedda
at 2019-10-24T00:30
at 2019-10-24T00:30

By Jacky
at 2019-10-25T15:44
at 2019-10-25T15:44

By Tracy
at 2019-10-28T06:54
at 2019-10-28T06:54

By Elma
at 2019-10-31T12:51
at 2019-10-31T12:51

By Rae
at 2019-11-01T20:06
at 2019-11-01T20:06

By Jacky
at 2019-11-04T03:43
at 2019-11-04T03:43

By Noah
at 2019-11-05T14:19
at 2019-11-05T14:19
Related Posts
玉晶光3406 籌碼疑問

By Cara
at 2019-08-23T15:30
at 2019-08-23T15:30
台企銀升任兩副總

By Rebecca
at 2019-08-23T15:26
at 2019-08-23T15:26
《台北股市》錢好併破局,股價一上一下

By Steve
at 2019-08-23T15:23
at 2019-08-23T15:23
權證造市商還有好的嗎??

By Robert
at 2019-08-23T15:15
at 2019-08-23T15:15
108年08月23日 三大法人買賣金額統計表

By George
at 2019-08-23T15:00
at 2019-08-23T15:00