i*****r
发帖数: 1302 | 1 比如用mean-variance或者别的optimization, 举个例子
A: $60/share,
B: $20/share
C: $20/share
总资产$1000, 出来的weight是60%,-20%,60%
但实际中,如果在broker里面trade,我买了A 10股, short了B 10股之后我的buying
power应该只有200块了吧, 那怎么再买30股C呢?
还有那些像long 120%, short 150%之类的,实际操作中不可能的啊 | h**o
发帖数: 347 | 2 你的 constraint condition没设好
【在 i*****r 的大作中提到】
: 比如用mean-variance或者别的optimization, 举个例子
: A: $60/share,
: B: $20/share
: C: $20/share
: 总资产$1000, 出来的weight是60%,-20%,60%
: 但实际中,如果在broker里面trade,我买了A 10股, short了B 10股之后我的buying
: power应该只有200块了吧, 那怎么再买30股C呢?
: 还有那些像long 120%, short 150%之类的,实际操作中不可能的啊
| i*****r
发帖数: 1302 | 3 这和constranit没关系吧,其实和数学方面没关系.我只是打个比方,weight加起来是100
%,short的百分比多少都无所谓.-20%的short其实也占了20%的buying power,是实际应
用方面的问题
【在 h**o 的大作中提到】
: 你的 constraint condition没设好
| p****u
发帖数: 2596 | 4 What do you want to say?? :(
100
【在 i*****r 的大作中提到】
: 这和constranit没关系吧,其实和数学方面没关系.我只是打个比方,weight加起来是100
: %,short的百分比多少都无所谓.-20%的short其实也占了20%的buying power,是实际应
: 用方面的问题
| i*****r
发帖数: 1302 | 5 我的意思是是不是应该adjust weight
A: 60%/140%
B: -20%/140%
C: 60%/140%
可能问错地方了,这里都太数学了,对实际trade都不太了解 | b*******r
发帖数: 32 | 6 How do you compute your buying power? My logic is:
Cash Account: (Minimum (Equity with Loan Value, Previous Day Equity with
Loan Value)-Initial Margin)
Standard Margin Account: Available Funds*4
It depends on your broker. | i*****r
发帖数: 1302 | 7 假设1000就是我的buying power好了,leverage 1:2的话,资金500,margin 500 | K******r
发帖数: 152 | 8 I think your previous example is a pure math model. Assumption is that all
the short sell proceeds will be used to long other stocks.
However, it is usually the case that all proceeds need to be hold by the broker,
besides, 50% initial margin is necessary to enable the short sale.
Maintainence margin is about 40%.
For institutional investors, you can earn a rebate rate on the short sale
proceeds, so if you don't consider the margin requirement and assume the
rebate rate to be equal to borrowing
【在 i*****r 的大作中提到】
: 我的意思是是不是应该adjust weight
: A: 60%/140%
: B: -20%/140%
: C: 60%/140%
: 可能问错地方了,这里都太数学了,对实际trade都不太了解
|
| n*******r
发帖数: 60 | 9 within the modern brokerage structure, you can buy A 10 shares and C 20
shares
. If you have good relationship with your broker, you ask it to find another
guy who would like to borrow you B 10 shares. Then you short sale 10 shares
B. With the extra 200 bucks, you can buy additional 10 shares of C. Your
market exposure is still $1000 but your stock selection skill is leveraged.
【在 i*****r 的大作中提到】
: 比如用mean-variance或者别的optimization, 举个例子
: A: $60/share,
: B: $20/share
: C: $20/share
: 总资产$1000, 出来的weight是60%,-20%,60%
: 但实际中,如果在broker里面trade,我买了A 10股, short了B 10股之后我的buying
: power应该只有200块了吧, 那怎么再买30股C呢?
: 还有那些像long 120%, short 150%之类的,实际操作中不可能的啊
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