概率与盈亏比的动态博弈 凯利公式的启示。当胜率60%、盈亏比1:1时，最佳仓位f*=(0.6×1 - 0.4)/1=20%。但市场存在"肥尾效应"，实际波动常超出正态分布假设。2020年美股熔断期间，VIX指数单日暴涨115%，这种极端行情会瞬间摧毁理论模型。
Disclaimer: The views expressed are solely those of the author and do not represent the official position of Followme. Followme does not take responsibility for the accuracy, completeness, or reliability of the information provided and is not liable for any actions taken based on the content, unless explicitly stated in writing.
Leave Your Message Now