{"id":9203,"date":"2024-11-15T23:31:47","date_gmt":"2024-11-15T15:31:47","guid":{"rendered":"https:\/\/www.invbus.com\/blog\/?p=9203"},"modified":"2024-11-15T23:40:50","modified_gmt":"2024-11-15T15:40:50","slug":"%e9%a3%8e%e9%99%a9%e5%b0%8f%e5%8f%b2%e4%ba%8c%e5%8d%81%e5%9b%9b%ef%bc%9a%e5%b8%9d%e5%9b%bd%e7%9a%84%e5%b4%a9%e5%a1%8c-%e9%95%bf%e6%9c%9f%e8%b5%84%e6%9c%ac%e7%ae%a1%e7%90%86%e5%85%ac","status":"publish","type":"post","link":"https:\/\/www.invbus.com\/blog\/?p=9203","title":{"rendered":"\u98ce\u9669\u5c0f\u53f2\uff08\u4e8c\u5341\u56db\uff09\uff1a\u5e1d\u56fd\u7684\u5d29\u584c\u2014\u2014\u957f\u671f\u8d44\u672c\u7ba1\u7406\u516c\u53f8\uff08\u4e0a\uff09"},"content":{"rendered":"\n

\u7a0d\u5fae\u6709\u4e00\u70b9\u5e74\u7eaa\u7684\u4eba\uff0c\u80af\u5b9a\u90fd\u5bf990\u5e74\u4ee3\u672b\u7684\u90a3\u6b21\u4e1c\u5357\u4e9a\u91d1\u878d\u5371\u673a\u5370\u8c61\u6df1\u523b\uff0c\u800c\u4f46\u51e1\u5bf9\u91d1\u878d\u53f2\u6709\u4e00\u70b9\u5174\u8da3\u7684\u4eba\uff0c\u4e5f\u80af\u5b9a\u90fd\u542c\u8bf4\u8fc7\u5f53\u5e74\u7684\u8c6a\u534e\u5de8\u8230\u957f\u671f\u8d44\u672c\u7ba1\u7406\u516c\u53f8\uff08LTCM\uff0cLong-Term Capital Management\uff09<\/strong>\u3002\u5982\u679c\u6211\u4eec\u628aLTCM\u6bd4\u4f5c\u91d1\u878d\u754c\u7684\u6cf0\u5766\u5c3c\u514b\u7684\u8bdd\uff0c\u90a3\u4e48\u4e1c\u5357\u4e9a\u91d1\u878d\u5371\u673a\u5c31\u662f\u90a3\u4e2a\u65e0\u98ce\u591c\u665a\u7684\u5317\u5927\u897f\u6d0b\u3002<\/p>\n\n\n\n

LTCM\u6210\u7acb\u4e8e1994\u5e74\uff0c\u521b\u59cb\u4eba\u662f\u6240\u7f57\u95e8\u5144\u5f1f\u516c\u53f8\u6700\u8d5a\u94b1\u7684\u201d\u963f\u535a\u201c\u90e8\uff08Arbgroup\uff0c\u8bcd\u6e90\u662farbitrage\uff09\u7684\u8001\u5927\u53ca\u526f\u603b\u88c1\u7ea6\u7ff0\u00b7\u6885\u91cc\u7ef4\u745f<\/strong>\uff08John Meriwether\uff09\u3002\u6885\u91cc\u7ef4\u745f\u662f\u534e\u5c14\u8857\u4eba\u5c3d\u7686\u77e5\u7684\u8d4c\u68cd\uff0c\u4ece\u5c0f\u5c31\u5728\u7956\u7236\u7684\u6559\u5bfc\u4e0b\u8d4c\u9a6c\uff0c\u4e3a\u4e86\u6c42\u4e2a\u597d\u5f69\u5934\uff0c\u4ed6\u5728\u5305\u91cc\u4e00\u76f4\u63e3\u7740\u4e00\u4e32\u5ff5\u73e0\u3002\u5728\u8fc8\u514b\u5c14\u00b7\u5218\u6613\u65af\u7684\u300a\u8bf4\u8c0e\u8005\u7684\u6251\u514b\u724c\u300b\u90a3\u672c\u4e66\u91cc\u8bb2\u8fc7\u4e00\u4e2a\u6885\u91cc\u7ef4\u745f\u548c\u6240\u7f57\u95e8\u5144\u5f1f\u7684\u8001\u677f\u7ea6\u7ff0\u00b7\u53e4\u5f17\u5170\uff08John Gutfreund\uff09\u6253\u8d4c\u7684\u6545\u4e8b\uff0c\u5f53\u65f6\u53e4\u5f17\u5170\u8bf4\u201c\u8d4c\u6ce8\u4e00\u767e\u4e07\uff0c\u4e0d\u8bb8\u54ed\u201d\uff0c\u60f3\u8981\u5413\u9000\u6885\u91cc\u7ef4\u745f\uff0c\u4f46\u6885\u91cc\u7ef4\u745f\u56de\u5e94\u9053\u201d\u8d4c\u6ce8\u4e00\u5343\u4e07\uff0c\u4e0d\u8bb8\u54ed\u201c\uff0c\u7ed3\u679c\u88ab\u5413\u9000\u7684\u662f\u53e4\u5f17\u5170\u3002<\/p>\n\n\n\n

\"\u56fe\u7247\"\/<\/div><\/figure>\n\n\n\n

\u25b3\u7ea6\u7ff0\u00b7\u6885\u91cc\u7ef4\u745f\uff08John Meriwether\uff09<\/p>\n\n\n\n

\u4e0d\u8fc7\u5f53\u6885\u91cc\u7ef4\u745f\u79bb\u5f00\u6240\u7f57\u95e8\u5144\u5f1f\uff08\u5185\u90e8\u6597\u4e89\u88ab\u8d76\u51fa\u6765\u4e86\uff09\uff0c\u51c6\u5907\u7ec4\u5efa\u81ea\u5df1\u7684\u5bf9\u51b2\u57fa\u91d1\u7684\u65f6\u5019\uff0c\u4ed6\u7684\u64cd\u4f5c\u5374\u5f02\u5e38\u5730\u51b7\u9759\u3002\u4ed6\u77e5\u9053\u81ea\u5df1\u4e0d\u662f\u4e2a\u6570\u5b66\u5929\u624d\uff0c\u4e8e\u662f\u627e\u5230\u4e86\u4e24\u4e2a\u5f3a\u5927\u7684\u5408\u4f19\u4eba\uff0c\u7f57\u4f2f\u7279\u00b7\u9ed8\u987f<\/strong>\uff08Robert Merton\uff09\u548c\u6885\u9686\u00b7\u65af\u79d1\u5c14\u65af<\/strong>\uff08Myron Scholes\uff09\uff0c\u770b\u8fc7\u6211\u4eec\u4e4b\u524d\u8fde\u8f7d\u7684\u4f60\u4e00\u5b9a\u8bb0\u5f97\uff0c\u8fd9\u4e24\u4e2a\u4eba\u662f\u91d1\u878d\u5b66\u5386\u53f2\u4e0a\u6700\u8457\u540d\u7684BS\u516c\u5f0f\u7684\u521b\u59cb\u4eba\uff0c\u4f1a\u57281997\u5e74\u4e00\u8d77\u62ff\u5230\u8bfa\u8d1d\u5c14\u7ecf\u6d4e\u5b66\u5956\u3002\u800cLTCM\u7684\u6574\u4e2a\u56e2\u961f\u7531\u5b66\u672f\u5927\u725b\u3001\u653f\u754c\u7cbe\u82f1\uff08\u6bd4\u5982\u7f8e\u8054\u50a8\u7684\u524d\u526f\u4e3b\u5e2d\uff09\u548c\u5728\u6240\u7f57\u95e8\u5144\u5f1f\u516c\u53f8\u540c\u6885\u91cc\u7ef4\u745f\u6253\u62fc\u591a\u5e74\u7684\u4ea4\u6613\u5458\u7ec4\u6210\uff0c\u5f53\u65f6\u4eba\u4eec\u5bf9LTCM\u7684\u8bc4\u4ef7\u662f\uff0c\u4ed6\u4eec\u961f\u91cc\u540c\u65f6\u62e5\u6709\u8fc8\u514b\u5c14\u00b7\u4e54\u4e39\u548c\u9ed8\u7f55\u9ed8\u5fb7\u00b7\u963f\u91cc\u3002<\/p>\n\n\n\n

\"\u56fe\u7247\"\/<\/div><\/figure>\n\n\n\n

LTCM\u662f\u5386\u53f2\u4e0a\u7b2c\u4e00\u4e2a\u8d44\u4ea7\u4ef7\u503c\u8fbe\u523010\u4ebf\u7f8e\u5143\u7684\u57fa\u91d1\u516c\u53f8<\/strong>\uff0c\u752b\u4e00\u5f00\u5f20\u5c31\u878d\u523012.5\u4ebf\u7f8e\u5143\u3002\u8fd9\u4e0d\u5149\u56e0\u4e3a\u4ed6\u4eec\u95ea\u8000\u5230\u770b\u4e0a\u53bb\u5c31\u50cf\u5370\u949e\u673a\u7684\u56e2\u961f\uff0c\u66f4\u56e0\u4e3a\u4ed6\u4eec\u8d85\u9ad8\u7684\u5e74\u9884\u671f\u51c0\u6536\u76ca\u7387\u2014\u201430%\uff0c\u5e02\u573a\u4e0a\u51e0\u4e4e\u6ca1\u6709\u4efb\u4f55\u6295\u8d44\u57fa\u91d1\u53ef\u4ee5\u4e0e\u4e4b\u5ab2\u7f8e\uff0c\u5f53\u7136\u57fa\u91d1\u7684\u8d39\u7387\u4e5f\u9ad8\u5f97\u5413\u4eba\uff08\u5229\u6da6\u768425%\u5916\u52a01%\u7684\u6295\u8d44\u8d44\u4ea7\uff0c\u800c\u5f53\u65f6\u4e00\u822c\u8d39\u7387\u4e3a20%\uff09\u3002\u4e0d\u8fc7\u8fd9\u62b5\u6321\u4e0d\u4f4f\u6295\u8d44\u8005\u7684\u70ed\u60c5\uff0c\u5e76\u4e14\u5927\u90e8\u5206\u4e3a\u975e\u5e38\u4f18\u8d28\u7684\u5ba2\u6237\uff0c\u6bd4\u5982\u7f8e\u6797\u94f6\u884c\u3001\u79d1\u5a01\u7279\u517b\u8001\u57fa\u91d1\u548c\u4e2d\u56fd\u94f6\u884c\u3002<\/p>\n\n\n\n

\u5f00\u59cb\u8d77\u822a\u7684LTCM\u57281994\u5e74\u5e76\u6ca1\u6709\u8fbe\u5230\u9884\u671f\uff0c\u6263\u9664\u8d39\u7528\u540e\u7684\u6536\u76ca\u7387\u662f20%\uff0c\u6b64\u540e\u4e24\u5e74\u5219\u5206\u522b\u8fbe43%\u548c41%\u3002\u800c\u4e0e\u6b64\u540c\u65f6\uff0c\u8fd9\u4e24\u5e74\u662f\u7f8e\u56fd\u80a1\u5e02\u7684\u5927\u725b\u5e02\uff0c\u6807\u666e500\u57281995\u548c1996\u5e74\u5206\u522b\u4e0a\u6da8\u4e8634%\u548c20%\uff0c\u800c\u5373\u4fbf\u6da8\u52bf\u5982\u6b64\u559c\u4eba\uff0cLTCM\u4f9d\u7136\u7a33\u7a33\u5730\u628a\u5e02\u573a\u6536\u76ca\u8e29\u5728\u811a\u4e0b\u3002<\/p>\n\n\n\n

\u4e8e\u662fLTCM\u6210\u4e3a\u6574\u4e2a\u534e\u5c14\u8857\u6700\u5927\u7684\u4e00\u5757\u86cb\u7cd5\uff0c\u5927\u5bb6\u4e89\u7740\u60f3\u8981\u628a\u94b1\u4ea4\u7ed9\u4ed6\u4eec\uff0c\u4f46\u6885\u91cc\u7ef4\u745f\u65e9\u5c31\u505c\u6b62\u4e86\u63a5\u53d7\u65b0\u8d44\u91d1\u3002\u5230\u4e861997\u5e74\uff0cLTCM\u7684\u89c4\u6a21\u5df2\u7ecf\u8fbe\u523071\u4ebf<\/strong>\u7f8e\u5143\u3002<\/p>\n\n\n\n

\u4f46\u662fLTCM\u662f\u5982\u4f55\u505a\u5230\u8fd9\u4e48\u5927\u7684\u89c4\u6a21\u7684\u5462\uff1f\u57fa\u91d1\u56e2\u961f\u5bf9\u6b64\u8bb3\u83ab\u5982\u6df1\uff0c\u4e0d\u8fc7\u4ed6\u4eec\u627f\u8ba4\u8fd9\u4e00\u5207\u4e0e\u9ad8\u6760\u6746<\/strong>\u6709\u5173\u30021996\u5e74\u7684\u65f6\u5019\uff0cLTCM\u5728\u4e00\u6b21\u4e0e\u6295\u8d44\u8005\u7684\u89c1\u9762\u4f1a\u91cc\u8868\u793a\uff0c\u57fa\u91d1\u7684\u6760\u6746\u7387\u5dee\u4e0d\u591a\u662f30\u500d\uff0c\u4e5f\u5c31\u662f\u8bf4\u6295\u8d44\u8005\u6bcf\u6295\u51651\u7f8e\u5143\uff0c\u4ed6\u4eec\u4f1a\u501f29\u7f8e\u5143\u3002\u800c\u501f\u6b3e\u7ed9LTCM\u7684\u94f6\u884c\u8868\u793a\uff0c\u6bcf1\u7f8e\u5143\u7684\u6536\u76ca\u7387\u662f0.67%\uff0c\u56e0\u6b64\u5728\u6760\u6746\u7387\u7684\u4f5c\u7528\u4e0b\uff0c\u5bf9\u4e8eLTCM\u6765\u8bf4\uff0c\u5b9e\u9645\u4e0a\u6295\u8d44\u8005\u7684\u6bcf1\u7f8e\u5143\u53ef\u4ee5\u8d5a\u52300.67%\u768430\u500d\uff0c\u4e5f\u5c31\u662f20%\u5de6\u53f3\u3002\u3002<\/p>\n\n\n\n

\"\u56fe\u7247\"\/<\/div><\/figure>\n\n\n\n

LTCM\u5f53\u7136\u77e5\u9053\u6760\u6746\u8d8a\u9ad8\u98ce\u9669\u8d8a\u5927\u7684\u9053\u7406\uff0c\u4e3a\u6b64\u4ed6\u4eec\u5f15\u5165\u4e86\u5728\u5f53\u65f6\u8fd8\u975e\u5e38\u65f6\u9ae6\u7684\u65b0\u9c9c\u6307\u6807VaR(Value at Risk\uff0c\u5728\u7ebf\u4ef7\u503c\uff0c\u5177\u4f53\u5185\u5bb9\u53ef\u4ee5\u6233\u8fd9\u91cc)\uff0c\u6765\u5411\u6295\u8d44\u65b9\u5c55\u793a\u4ed6\u4eec\u501f\u52a9\u91d1\u878d\u5de5\u7a0b\u65b9\u6cd5\u63a7\u5236\u98ce\u9669\u7684\u80fd\u529b\u30021994\u5e74\uff0c\u4ed6\u4eec\u7ed9\u6295\u8d44\u8005\u7684\u57fa\u91d1\u8fd0\u884c\u60c5\u51b5\u8bf4\u660e\u91cc\u5c31\u660e\u767d\u5730\u5199\u7740\uff0c\u5982\u679c\u8981\u5b9e\u73b025%\u7684\u6536\u76ca\u7387\uff0c\u90a3\u4e48\u57fa\u91d1\u5c31\u8981\u627f\u62c5\u6bcf\u5e741%\u7684\u635f\u5931\u53ef\u80fd\u6027\u548c20%\u4ee5\u4e0a\u7684\u5e74\u4e8f\u635f\u7387\uff0c\u800c20%\u53ca\u4ee5\u4e0a\u7684\u4e8f\u635f\uff0c\u5c31\u662fVaR\u4e2d\u6700\u7cdf\u7cd5\u7684\u60c5\u51b5\u3002<\/p>\n\n\n\n

\u6b64\u5916\uff0cLTCM\u8fd8\u7528\u4e00\u79cd\u53eb\u505a\u98ce\u9669\u96c6\u5408\u5668\u7684\u4e1c\u897f\u4f5c\u4e3a\u538b\u529b\u6d4b\u8bd5\u7684\u624b\u6bb5\uff0c\u4ed6\u4eec\u8bbe\u60f3\u4e86\u4e00\u4e9b\u6781\u7aef\u7684\u60c5\u51b5\uff0c\u6bd4\u5982\u4e1c\u4eac\u53d1\u751f\u4e8610\u7ea7\u5730\u9707\uff0c\u6216\u8005\u7f8e\u80a1\u4e00\u5929\u4e4b\u5185\u8dcc\u4e8630%\u4f1a\u600e\u4e48\u6837\u3002\u636e\u8bf4\u8ba1\u7b97\u51fa\u6765\u7684\u6700\u5927\u635f\u5931\u662f25\u4ebf\u7f8e\u5143\uff0c\u4e0d\u8fc7\u5bf9\u4e8e\u8fd9\u6837\u51e0\u5341\u4e2a\u6807\u51c6\u5dee\u4e4b\u5916\u7684\u4e8b\u60c5\uff0c\u6b63\u5e38\u4eba\u4f3c\u4e4e\u4e0d\u5e94\u8be5\u82b1\u592a\u591a\u7cbe\u529b\u6765\u8003\u8651\uff0c\u6bd5\u7adf\u4eba\u751f\u4e0d\u8be5\u662f\u300a\u6b7b\u795e\u6765\u4e86\u300b\u4e0d\u662f?\u81f3\u5c11\u5230\u76ee\u524d\u4e3a\u6b62\uff0c\u957f\u671f\u8d44\u672c\u7ba1\u7406\u516c\u53f8\u987a\u98ce\u987a\u6c34\uff0c\u5728\u4e00\u6b21\u8def\u6f14\u91cc\uff0c\u4e00\u540d\u503a\u5238\u4ea4\u6613\u5458\u8d28\u7591LTCM\uff0c\u4ed6\u8bf4\u4e0d\u53ef\u80fd\u6709\u90a3\u4e48\u591a\u8d5a\u94b1\u7684\u673a\u4f1a\uff0c\u5bf9\u6b64\u65af\u79d1\u5c14\u65af\u7528\u624b\u5728\u7a7a\u4e2d\u6293\u4e86\u4e00\u4e0b\uff0c\u4ed6\u8bf4\uff0c\u6211\u4eec\u662f\u4e00\u53f0\u5438\u5c18\u5668\uff0c\u5438\u8d70\u4e86\u6240\u6709\u4f60\u4eec\u770b\u4e0d\u89c1\u7684\u786c\u5e01\u3002<\/p>\n\n\n\n

\u3010\u5386\u53f2\u56de\u6d4b\u3011.<\/p>\n\n\n\n

\u98ce\u9669\u5c0f\u53f2\uff08\u4e8c\u5341\u4e09\uff09\uff1a\u5957\u5229\u4e4b\u738b\u8fd8\u662f\u5185\u5e55\u4ea4\u6613\uff1f\u2014\u2014\u300a\u534e\u5c14\u8857\u300b\u7684\u539f\u578b\u535a\u65af\u57fa<\/a><\/p>\n\n\n\n

\u98ce\u9669\u5c0f\u53f2\uff08\u4e8c\u5341\u4e8c\uff09\uff1a\u5bbd\u5ba2\u6559\u7236\u7684\u9ed1\u8272\u661f\u671f\u4e00\u2014\u2014\u7231\u5fb7\u534e\u00b7\u7d22\u666e\uff08\u4e0b\uff09<\/a><\/p>\n\n\n\n

\u98ce\u9669\u5c0f\u53f2\uff08\u4e8c\u5341\u4e00\uff09\uff1a\u4ece\u4e00\u4ee3\u8d4c\u795e\u5230\u5bbd\u5ba2\u6559\u7236\u2014\u2014\u7231\u5fb7\u534e\u00b7\u7d22\u666e\uff08\u4e2d\uff09<\/a><\/p>\n\n\n\n

\u98ce\u9669\u5c0f\u53f2\uff08\u4e8c\u5341\uff09\uff1a\u4ece\u6218\u80dc\u5e84\u5bb6\u5230\u6253\u8d25\u5e02\u573a\u2014\u2014\u7231\u5fb7\u534e\u00b7\u7d22\u666e\uff08\u4e0a\uff09<\/a><\/p>\n\n\n\n

\u98ce\u9669\u5c0f\u53f2\uff08\u5341\u4e5d\uff09\uff1a\u6211\u4e00\u4e2a\u641e\u4fe1\u606f\u8bba\u7684\uff0c\u600e\u4e48\u5c31\u53bb\u7092\u80a1\u4e86\uff1f<\/a><\/p>\n\n\n\n

\u500d\u53d1\u79d1\u6280\u00a0\u6709\u91d1\u6709\u9669<\/a>\u00a02017\u5e7402\u670806\u65e5 20:24<\/em>
https:\/\/mp.weixin.qq.com\/s\/qTTJqSldrf7ojHBvJ4IOmA<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"

\u7a0d\u5fae\u6709\u4e00\u70b9\u5e74\u7eaa\u7684\u4eba\uff0c\u80af\u5b9a\u90fd\u5bf990\u5e74\u4ee3\u672b\u7684\u90a3\u6b21\u4e1c\u5357\u4e9a\u91d1\u878d\u5371\u673a\u5370\u8c61\u6df1\u523b\uff0c\u800c\u4f46\u51e1\u5bf9\u91d1\u878d\u53f2\u6709\u4e00\u70b9\u5174\u8da3\u7684\u4eba\uff0c\u4e5f\u80af\u5b9a\u90fd\u542c\u8bf4 […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[82],"class_list":["post-9203","post","type-post","status-publish","format-standard","hentry","category-uncategorized","tag-82"],"_links":{"self":[{"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=\/wp\/v2\/posts\/9203","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=9203"}],"version-history":[{"count":0,"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=\/wp\/v2\/posts\/9203\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=9203"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=9203"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=9203"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}