Asset Allocation and Rebalancing between CAPM and Kelly Criterion

• Main Authors: Chang, Ji-Ren, 張繼仁
• Other Authors: Dai, Tian-Shyr
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/d8b2yt

碩士 === 國立交通大學 === 財務金融研究所 === 108 === This research will explore the difference between return rate of portfolios found by Kelly criterion and the efficient frontier of CAPM. Our research assumes that the model of stock price follows geometric Brownian motion, and the returns of Kelly portfolio and CAPM are written in the form of discrete returns, so as to explore the differences in the returns of portfolios between them under different correlations between assets. In addition, we use Monte Carlo method to simulate the expected rate of returns and variances of Kelly portfolio after adding asset rebalancing, to explore the difference of returns between rebalanced Kelly portfolio and the portfolio of efficient frontier of CAPM under different correlations between assets, and the difference between the returns of Kelly portfolio and rebalanced Kelly portfolio.