现代和后现代投资组合理论在金钱投注中的应用

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-02-13 DOI:10.1515/jqas-2021-0107

D. Harville

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引用次数: 0

摘要

现代和后现代投资组合理论是哈里·马科维茨(Harry Markowitz)等人提出的，其目的是在若干金融资产中分配一定的货币资源，以在风险和预期收益之间取得适当的平衡。它解决的问题与对美式足球等体育赛事的比赛结果进行“下注”时遇到的问题有很大的相似之处。在若干这样的赌注中分配一些已分配的资金时，可能需要考虑风险。通过引入适当的修改，现代和后现代投资组合理论中用于在金融资产中分配资源的程序可以适用于在多个赌注中分配资金。与金融资产的情况一样，最合适的风险衡量标准是半偏差或半方差，它们只会惩罚负或低于目标的回报。本文通过对2020赛季大学橄榄球“碗”比赛结果的赌注进行回顾性分析，对各种程序进行了说明和比较。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Modern and post-modern portfolio theory as applied to moneyline betting

Abstract Modern and post-modern portfolio theory were devised by Harry Markowitz (among others) for purposes of allocating some monetary resources among a number of financial assets so as to strike a suitable balance between risk and expected return. The problem it addresses bears a considerable resemblance to one encountered in making “moneyline” bets on the outcomes of contests in sports like American football. In distributing some allotted funds among a number of such bets, it may be desired to account for the risk. By introducing suitable modifications, the procedures employed in modern and post-modern portfolio theory for the allocation of resources among financial assets can be adapted for use in the distribution of funds among multiple bets. As in the case of financial assets, the most appropriate measures of risk are ones like the semi-deviation or semi-variance that penalize only negative or below-target returns. The various procedures are illustrated and compared by applying them retrospectively to moneyline bets on the outcomes of the college football “bowl” games from the 2020 season.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.