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# 马科维兹与凯利公式
## 资产配置
[比特币仓位管理——连续化凯利公式](https://www.bfm-unity.com/v/joinquant/joinquant/bi-te-bi-cang-wei-guan-li-lian-xu-hua-kai-li-gong-shi)
### 马科维兹
马克维茨准则 = 均值方差准则的有效边界 马克维茨准则之所以停留在教材里，基本无法实用，最恶心的一点是，你需要确定自己的无差异曲线。 但是正常人可能都不是机器人，无法确定自己的无差异曲线。
### 如何进行不带感情的判断呢？解决方案：凯利准则
设几何平均数为k，则k=E-1/2σ^2 我们可以画很多，E=1/2σ^2+k的曲线，与E轴的交点为k。 那么很显然，k最大的点就是这个曲线与有效边界相切的点。 在0杠杆时，凯利准则是这个红的点，可以唯一确定的。
### 凯利公式
#### 0，先说协方差是什么：
#### 1，很多人在谈论凯利公式，但是他们好像使用了适用于赌博的凯利公式，
#### 适用于赌博的凯利公式并不适用于股票和资产配置。以下是它们的区别：
#### 2，适用于股票和资产配置的凯利公式 F= C^-1 M 的证明：
#### 3，关于凯利准则（最大几何平均数准则）：
#### 4，凯利系统的优越性：凯利>马丁>定投>梭哈
#### 3，参考：
0，《赌神数学家：战胜拉斯维加斯和金融市场的财富公式》
1，[zhihu-赵又奇的文章](https://www.zhihu.com/people/zhao-you-qi-31/posts)
2，[算法交易Frame](http://www.360doc.com/content/18/0123/12/42576766_724401695.shtml)
3，[什么是协方差，怎么计算？为什么需要协方差？](https://blog.csdn.net/Russell_W/article/details/85118486)
4，[用凯利公式计算最优配置](http://www.360doc.com/content/19/0714/13/54009962_848630371.shtml)
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