※ 引述《daze (一期一會)》之銘言：
: 不太確定這個想法數學上是否robust，姑且聽聽看
原則上
Merton's portfolio problem在分配兩種資產時比較容易求解
在某些限制條件下
三種資產分配可以簡化成兩種資產分配問題
比如說
分配「股票」、「無風險利率債券」、「無風險利率+1%貸款」時
「無風險利率債券」與「無風險利率+1%貸款」不會同時存在
否則賣掉債券還貸款永遠會比較好
(不完全是，因為債券其實有term risk，但以short-term bond來說還好)
但當試圖分配
「股票」、「無風險利率+1%美元貸款」、「無風險利率+1.5%台幣貸款」時
就無法輕易加以簡化了
可能只能透過數值方法求解
--
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.
--
: 不太確定這個想法數學上是否robust，姑且聽聽看
原則上
Merton's portfolio problem在分配兩種資產時比較容易求解
在某些限制條件下
三種資產分配可以簡化成兩種資產分配問題
比如說
分配「股票」、「無風險利率債券」、「無風險利率+1%貸款」時
「無風險利率債券」與「無風險利率+1%貸款」不會同時存在
否則賣掉債券還貸款永遠會比較好
(不完全是，因為債券其實有term risk，但以short-term bond來說還好)
但當試圖分配
「股票」、「無風險利率+1%美元貸款」、「無風險利率+1.5%台幣貸款」時
就無法輕易加以簡化了
可能只能透過數值方法求解
--
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.
--
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