最小化後悔的投資策略 - 投資
By Joe
at 2021-07-27T10:26
at 2021-07-27T10:26
Table of Contents
Blogpost:
https://daze68.blogspot.com/2021/07/minimal-regret-investing.html
======
單筆投入的報酬期望值會勝過定期定額,許多文獻多有闡述
不過如果目標是"最小化後悔"的話,可能會有所不同
Ordine, A. (2017) 是這樣定義後悔的:
後悔= 股票的購入價格 - 期間的最低價
這個定義下,買了以後下跌後悔,沒買結果漲上去也後悔,而且少賺跟多賠的後悔程度是
相當的。總之,沒買到最低價就後悔。
舉例來說,你想要在1個月內購買100股ABC
期初股價50元,期間最低價40元,期末股價60元
如果在期初就買進100股 後悔 = 100*(50-40)=1000
如果期初買50股,期末買50股 後悔 = 50*(50-40) + 50*(60-40)=1500
假設股票回報滿足對數常態分佈
Ordine指出最小化後悔期望值的投入方式是稍微concave的曲線
即早期投入速度較晚期稍快
以作者舉例的數字來說,是下圖標為25的曲線
(圖中的30是linear,即定期定股投入)
作者也指出,設定的投入時間越長,最小化後悔的曲線會越concave,越偏向早期投入
圖:
https://tinyurl.com/2at67rwa
https://tinyurl.com/45zz5p7j
======
至於到底是"報酬期望值"比較重要
還是"最小化後悔"比較重要
就是個人選擇了
另外,作者衡量後悔的方式,也未必適用於其他人
======
Reference:
Ordine, A. (2017). Min-Regret Methods in Portfolio Transition. Available at
SSRN 3006742.
--
You got to know when to hold 'em, know when to fold 'em, Know when to walk away and know when to run.
You never count your money when you're sittin' at the table. There'll be time enough for countin' when the dealin's done.
'Cause ev'ry hand's a winner and ev'ry hand's a loser, And the best that you can hope for is to die in your sleep."
now Ev'ry gambler knows that the secret to survivin' Is knowin' what to throw away and knowing what to keep.
--
https://daze68.blogspot.com/2021/07/minimal-regret-investing.html
======
單筆投入的報酬期望值會勝過定期定額,許多文獻多有闡述
不過如果目標是"最小化後悔"的話,可能會有所不同
Ordine, A. (2017) 是這樣定義後悔的:
後悔= 股票的購入價格 - 期間的最低價
這個定義下,買了以後下跌後悔,沒買結果漲上去也後悔,而且少賺跟多賠的後悔程度是
相當的。總之,沒買到最低價就後悔。
舉例來說,你想要在1個月內購買100股ABC
期初股價50元,期間最低價40元,期末股價60元
如果在期初就買進100股 後悔 = 100*(50-40)=1000
如果期初買50股,期末買50股 後悔 = 50*(50-40) + 50*(60-40)=1500
假設股票回報滿足對數常態分佈
Ordine指出最小化後悔期望值的投入方式是稍微concave的曲線
即早期投入速度較晚期稍快
以作者舉例的數字來說,是下圖標為25的曲線
(圖中的30是linear,即定期定股投入)
作者也指出,設定的投入時間越長,最小化後悔的曲線會越concave,越偏向早期投入
圖:
https://tinyurl.com/2at67rwa
https://tinyurl.com/45zz5p7j
======
至於到底是"報酬期望值"比較重要
還是"最小化後悔"比較重要
就是個人選擇了
另外,作者衡量後悔的方式,也未必適用於其他人
======
Reference:
Ordine, A. (2017). Min-Regret Methods in Portfolio Transition. Available at
SSRN 3006742.
--
You got to know when to hold 'em, know when to fold 'em, Know when to walk away and know when to run.
You never count your money when you're sittin' at the table. There'll be time enough for countin' when the dealin's done.
'Cause ev'ry hand's a winner and ev'ry hand's a loser, And the best that you can hope for is to die in your sleep."
now Ev'ry gambler knows that the secret to survivin' Is knowin' what to throw away and knowing what to keep.
--
Tags:
投資
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