{"version":"1.0","provider_name":"Fortune Insight","provider_url":"https:\/\/prime.fortuneinsight.com\/web","author_name":"\u9322\u741b","author_url":"https:\/\/prime.fortuneinsight.com\/web\/posts\/author\/chinshun","title":"\u300a\u8a08\u91cf\u7b56\u7565\u300b\u6ce8\u78bc\u63a7\u5236\u53ca\u81ea\u52d5\u518d\u5e73\u8861\u5176\u5be6\u96e3\u4e0d\u5230\u6563\u6236 - Fortune Insight","type":"rich","width":600,"height":338,"html":"<blockquote class=\"wp-embedded-content\"><a href=\"https:\/\/prime.fortuneinsight.com\/web\/posts\/696260\">\u300a\u8a08\u91cf\u7b56\u7565\u300b\u6ce8\u78bc\u63a7\u5236\u53ca\u81ea\u52d5\u518d\u5e73\u8861\u5176\u5be6\u96e3\u4e0d\u5230\u6563\u6236<\/a><\/blockquote>\n<script type='text\/javascript'>\n<!--\/\/--><![CDATA[\/\/><!--\n\t\t!function(c,d){\"use strict\";var e=!1,n=!1;if(d.querySelector)if(c.addEventListener)e=!0;if(c.wp=c.wp||{},!c.wp.receiveEmbedMessage)if(c.wp.receiveEmbedMessage=function(e){var t=e.data;if(t)if(t.secret||t.message||t.value)if(!\/[^a-zA-Z0-9]\/.test(t.secret)){for(var r,a,i,s=d.querySelectorAll('iframe[data-secret=\"'+t.secret+'\"]'),n=d.querySelectorAll('blockquote[data-secret=\"'+t.secret+'\"]'),o=0;o<n.length;o++)n[o].style.display=\"none\";for(o=0;o<s.length;o++)if(r=s[o],e.source===r.contentWindow){if(r.removeAttribute(\"style\"),\"height\"===t.message){if(1e3<(i=parseInt(t.value,10)))i=1e3;else if(~~i<200)i=200;r.height=i}if(\"link\"===t.message)if(a=d.createElement(\"a\"),i=d.createElement(\"a\"),a.href=r.getAttribute(\"src\"),i.href=t.value,i.host===a.host)if(d.activeElement===r)c.top.location.href=t.value}}},e)c.addEventListener(\"message\",c.wp.receiveEmbedMessage,!1),d.addEventListener(\"DOMContentLoaded\",t,!1),c.addEventListener(\"load\",t,!1);function t(){if(!n){n=!0;for(var e,t,r=-1!==navigator.appVersion.indexOf(\"MSIE 10\"),a=!!navigator.userAgent.match(\/Trident.*rv:11\\.\/),i=d.querySelectorAll(\"iframe.wp-embedded-content\"),s=0;s<i.length;s++){if(!(e=i[s]).getAttribute(\"data-secret\"))t=Math.random().toString(36).substr(2,10),e.src+=\"#?secret=\"+t,e.setAttribute(\"data-secret\",t);if(r||a)(t=e.cloneNode(!0)).removeAttribute(\"security\"),e.parentNode.replaceChild(t,e)}}}}(window,document);\n\/\/--><!]]>\n<\/script><iframe sandbox=\"allow-scripts\" security=\"restricted\" src=\"https:\/\/prime.fortuneinsight.com\/web\/posts\/696260\/embed\" width=\"600\" height=\"338\" title=\"&#8220;\u300a\u8a08\u91cf\u7b56\u7565\u300b\u6ce8\u78bc\u63a7\u5236\u53ca\u81ea\u52d5\u518d\u5e73\u8861\u5176\u5be6\u96e3\u4e0d\u5230\u6563\u6236&#8221; &#8212; Fortune Insight\" frameborder=\"0\" marginwidth=\"0\" marginheight=\"0\" scrolling=\"no\" class=\"wp-embedded-content\"><\/iframe>","thumbnail_url":"https:\/\/prime-fortuneinsight-cloud.s3.ap-southeast-1.amazonaws.com\/web\/wp-content\/uploads\/2022\/09\/20025151\/risk-parity-illustration.png","thumbnail_width":1184,"thumbnail_height":767,"description":"\u6709\u670b\u53cb\u5728Patreon\u5c08\u6b04\u554f\u4e86\u6211\u4ee5\u4e0b\u554f\u984c\uff1a \u300c\u741b\u54e5\uff0c\u6211\u6700\u8fd1\u63fe\u5230\u4e00\u500b\u52a0\u5bc6\u8ca8\u5e63\u5408\u7d04\u7b56\u7565\uff0cbacktest\u00a0\u904e2-3\u5e74\u6642\u9593\uff0c\u5e73\u5747\u52dd\u738736.24%\uff0c\u5e73\u5747\u76c8\u5229\u4fc20.5%\uff0c\u5e73\u5747\u8667\u640d\u4fc20.25%\uff0c\u6211\u60f3\u904b\u7528\u9010\u5009\uff08\u5373\u6700\u5927\u8667\u640d\u5c31\u662f\u6295\u6ce8\uff09\u5408\u7d0420\u500d\u6760\u687f\uff0c\u8acb\u554f\u61c9\u8a72\u600e\u6a23\u6c42\u5f97\u6839\u64da\u51f1\u5229\u516c\u5f0f\u7684\u6700\u5927\u5316\u5229\u6f64\u7684\u6295\u8cc7\u6bd4\u7387\uff1f\u8b1d\u8b1d\u4f60\u3002\u300d \u5148\u7c21\u55ae\u8aaa\u8aaa\u51f1\u5229\u516c\u5f0f\uff08Kelly\u2019s Formula\uff09\u3002\u9019\u662f\u6ce8\u78bc\u63a7\u5236\u6700\u8457\u540d\u7684\u6578\u5f0f\uff0c\u7528\u4f86\u8a08\u7b97\u4e00\u5834\u8ced\u5c40\/\u4ea4\u6613\u61c9\u8a72\u4f7f\u7528\u6de8\u8cc7\u7522\u7684\u591a\u5c11\u767e\u5206\u6bd4\u4f86\u6295\u6ce8\u3002\u516c\u5f0f\u5982\u4e0b\uff1a \u6295\u6ce8\uff08%\uff09= w &#8211; [(1-w)\/r], w\u70ba\u8d0f\u7684\u6982\u7387\uff0cr\u70ba\u8ce0\u7387 \u5047\u8a2d\u4e00\u5834\u8ced\u5c40\u7684\u52dd\u7387\u70ba50%\uff0c\u8ce0\u7387\u70ba1\u8ce010\uff0c\u6295\u6ce8\u5408\u7406\u503c\u5c31\u662f\u6de8\u8cc7\u7522\u76840.5 &#8211; [(1-0.5)\/10] = 45%\u3002 \u9019\u516c\u5f0f\u6700\u91cd\u8981\u7684\u662f\u80cc\u5f8c\u5047\u8a2d\u3002\u6bcf\u6b21\u4f7f\u7528\u6b64\u516c\u5f0f\u6642\uff0c\u90fd\u5fc5\u9808\u78ba\u4fdd\u8f38\u6389\u4e4b\u5f8c\u6703\u5931\u53bb\u6240\u6709\u672c\u91d1\u3002\u5047\u5982\u672c\u91d1\u4e26\u975e\u8f38\u76e1\uff0c\u6b64\u516c\u5f0f\u5c31\u4e0d\u6210\u7acb\u3002 \u56e0\u6b64\uff0c\u56de\u61c9\u4e0a\u8ff0\u554f\u984c\uff0c\u5047\u5982\u8d0f\u7684\u6a5f\u7387\u548c\u8ce0\u7387\u90fd\u662f\u5728\u672c\u91d1\u6703\u8f38\u76e1\u7684\u60c5\u6cc1\u4e0b\u8a08\u7b97\uff0c\u7406\u8ad6\u4e0a\u53ef\u4ee5\u5229\u7528\u51f1\u5229\u516c\u5f0f\u8a08\u7b97\u6ce8\u78bc\u767e\u5206\u6bd4\u5408\u7406\u503c\u3002\u4e0d\u904e\uff0c\u5176\u5be6\u6211\u4e0d\u592a\u6e05\u695a\u4e0a\u8ff0\u5047\u8a2d\u662f\u5426\u6210\u7acb\uff0c\u59d1\u4e14\u628a\u6578\u5b57\u4ee3\u5165\u516c\u5f0f\u53bb\u770b\u770b\u7d50\u679c\u3002 \u6295\u6ce8% = 0.3624 &#8211; [(1-0.3624)\/2] = 4.36% \u4f46\u662f\uff0c\u5c31\u7b97\u51f1\u5229\u516c\u5f0f\u5728\u4e0a\u8ff0\u60c5\u6cc1\u6210\u7acb\uff0c\u6211\u4e5f\u4e0d\u592a\u5efa\u8b70\u4f7f\u7528\u5176\u4f5c\u70ba\u6ce8\u78bc\u63a7\u5236\u7684\u6e96\u5247\u3002\u539f\u56e0\u662f\u6839\u64da\u516c\u5f0f\uff0c\u5f71\u97ff\u6ce8\u78bc\u767e\u5206\u6bd4\u6700\u91cd\u8981\u7684\u5169\u500b\u56e0\u7d20\u662f\u8d0f\u7684\u6a5f\u7387\u548c\u8ce0\u7387\uff0c\u4f46\u9019\u5169\u500b\u56e0\u7d20\u90fd\u975e\u6211\u5011\u6700\u61c9\u8a72\u95dc\u5fc3\u7684\u7b56\u7565\u8a55\u6838\u6307\u6a19\uff0c\u66f4\u91cd\u8981\u7684\u61c9\u8a72\u662f\u98a8\u96aa\u3001\u56de\u5831\u7a69\u5b9a\u6027\u7b49\u56e0\u7d20\u3002\u80fd\u914d\u5408\u9019\u4e9b\u66f4\u91cd\u8981\u7684\u7b56\u7565\u6307\u6a19\u9032\u884c\u6ce8\u78bc\u63a7\u5236\u7684\u65b9\u6cd5\uff0c\u5c31\u662f\u98a8\u96aa\u5e73\u50f9\uff08risk parity\uff09\u3002 \u98a8\u96aa\u5e73\u50f9\u662f\u4e00\u500b\u975e\u5e38\u7c60\u7d71\u7684\u6982\u5ff5\uff0c\u6cdb\u6307\u5206\u914d\u8cc7\u7522\/\u7b56\u7565\u5230\u4e0d\u540c\u7a0b\u5ea6\u98a8\u96aa\u7684\u5de5\u5177\u4f86\u9054\u5230\u6295\u8cc7\u7d44\u5408\u5206\u6563\u3002\u6700\u5e38\u898b\u7684\u64cd\u4f5c\u65b9\u6cd5\u662f\u6839\u64da\u7b56\u7565\u7684\u98a8\u96aa\u5206\u6563\u8cc7\u7522\/\u7b56\u7565\u3002\u98a8\u96aa\u6108\u9ad8\uff0c\u8a72\u8cc7\u7522\/\u7b56\u7565\u7684\u6ce8\u78bc\u5c31\u6108\u4f4e\uff0c\u53cd\u4e4b\u4ea6\u7136\u3002 \u91cf\u5ea6\u98a8\u96aa\u7684\u6307\u6a19\u6709\u5f88\u591a\uff0c\u50b3\u7d71\u65b9\u6cd5\u662f\u4f7f\u7528\u6a19\u6e96\u5dee\uff0c\u6a19\u6e96\u5dee\u6108\u9ad8\u7684\u7b56\u7565\/\u8cc7\u7522\u6ce8\u78bc\u6108\u4f4e\u3002\u4f46\u6211\u8a8d\u70ba\u5f15\u4f38\u6ce2\u5e45\u7387\u662f\u66f4\u6709\u6548\u9810\u6e2c\u98a8\u96aa\u7684\u6307\u6a19\u3002\u6240\u4ee5\uff0c\u5206\u914d\u8cc7\u91d1\u5230\u4e0d\u540c\u7684\u8cc7\u7522\u6642\uff0c\u5f15\u4f38\u6ce2\u5e45\u7387\u6108\u9ad8\uff0c\u6ce8\u78bc\u61c9\u6108\u4f4e\u3002\u6b64\u5916\uff0c\u4e5f\u53ef\u4ee5\u4f7f\u7528MDD\u57f7\u884c\u98a8\u96aa\u5e73\u50f9\uff0cMDD\u6108\u9ad8\uff0c\u6ce8\u78bc\u6108\u4f4e\u3002\u4f8b\u5982\uff0c\u7b56\u7565A\u3001B\u3001C\u7684MDD\u6bd4\u4f8b\u662f1:4:5\u7684\u8a71\uff0c\u7b56\u7565A\u3001B\u3001C\u7684\u6ce8\u78bc\u5c31\u53ef\u4ee5\u662f5:4:1\u3002 \u53e6\u5916\uff0c\u4e5f\u53ef\u4ee5\u4f7f\u7528\u590f\u666e\u6bd4\u7387\u505a\u98a8\u96aa\u5e73\u50f9\u3002\u590f\u666e\u6bd4\u7387\u6108\u9ad8\uff0c\u6ce8\u78bc\u6108\u9ad8\u3002\u4f8b\u5982\uff0c\u7b56\u7565A\u3001B\u3001C\u7684\u590f\u666e\u6bd4\u7387\u6bd4\u4f8b\u662f1:4:5\u7684\u8a71\uff0c\u7b56\u7565A\u3001B\u3001C\u7684\u6ce8\u78bc\u4e5f\u53ef\u4ee5\u662f1:4:5\u3002 \u574a\u9593\u6709\u4e9b\u81ea\u52d5\u69cb\u5efa\u5009\u4f4d\u7684auto portfolio rebalancer\uff0c\u5f88\u5927\u7a0b\u5ea6\u4e0a\u4e5f\u5728\u4f7f\u7528\u4e0a\u8ff0\u539f\u7406\u3002\u6839\u64da\u4e0a\u8ff0\u5176\u4e2d\u4e00\u500b\u6e96\u5247\uff0c\u5982\u679c\u6ce8\u78bc\u6bd4\u4f8b\u904e\u4e86\u4e00\u6bb5\u6642\u9593\u5f8c\u6025\u901f\u6539\u8b8a\uff0cauto portfolio rebalancer\u5c31\u6703\u81ea\u52d5\u6839\u64da\u7d50\u679c\u518d\u5e73\u8861\u5009\u4f4d\u3002\u4e8b\u5be6\u4e0a\uff0c\u9019\u4e9b\u7a0b\u5f0f\u7684\u539f\u7406\u4e0d\u592a\u96e3\uff0c\u7a0d\u5fae\u4e86\u89e3\u7a0b\u5f0f\u4ea4\u6613\u7684\u6563\u6236\u4e5f\u80fd\u81ea\u5df1\u505a\u5230\uff0c\u518d\u5e73\u8861\u7684\u908f\u8f2f\u4e5f\u80fd\u66f4flexible\u3002 \uff08\u6b64\u70ba\u4e0a\u661f\u671f\u5c08\u6b04\uff0c\u9019\u661f\u671f\u7684\u6703\u65bc\u9019\u5e7e\u5929\u767c\u4f48\uff09"}