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<!DOCTYPE html>
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<title>Chapter 9 基金与投资者管理模型 | R语言玩转金融与体彩数据分析</title>
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<li><a href="./">R语言玩转金融与体彩数据分析</a></li>
<li class="divider"></li>
<li class="chapter" data-level="1" data-path="index.html"><a href="index.html"><i class="fa fa-check"></i><b>1</b> 前言</a></li>
<li class="chapter" data-level="2" data-path="intro.html"><a href="intro.html"><i class="fa fa-check"></i><b>2</b> 介绍</a>
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<li class="chapter" data-level="2.1" data-path="intro.html"><a href="intro.html#r语言与rstudio"><i class="fa fa-check"></i><b>2.1</b> R语言与RStudio</a></li>
<li class="chapter" data-level="2.2" data-path="intro.html"><a href="intro.html#shiny应用"><i class="fa fa-check"></i><b>2.2</b> Shiny应用</a></li>
<li class="chapter" data-level="2.3" data-path="intro.html"><a href="intro.html#调用其它语言程序"><i class="fa fa-check"></i><b>2.3</b> 调用其它语言程序</a></li>
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<li class="chapter" data-level="3" data-path="analytics.html"><a href="analytics.html"><i class="fa fa-check"></i><b>3</b> 数据分析</a>
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<li class="chapter" data-level="3.1" data-path="analytics.html"><a href="analytics.html#读存数据"><i class="fa fa-check"></i><b>3.1</b> 读存数据</a>
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<li class="chapter" data-level="4" data-path="stats.html"><a href="stats.html"><i class="fa fa-check"></i><b>4</b> 统计模式</a>
<ul>
<li class="chapter" data-level="4.1" data-path="stats.html"><a href="stats.html#基本统计学"><i class="fa fa-check"></i><b>4.1</b> 基本统计学</a>
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<li class="chapter" data-level="4.1.1" data-path="stats.html"><a href="stats.html#线性模型"><i class="fa fa-check"></i><b>4.1.1</b> 线性模型</a></li>
<li class="chapter" data-level="4.1.2" data-path="stats.html"><a href="stats.html#广义型线性模型"><i class="fa fa-check"></i><b>4.1.2</b> 广义型线性模型</a></li>
<li class="chapter" data-level="4.1.3" data-path="stats.html"><a href="stats.html#最优模型选择"><i class="fa fa-check"></i><b>4.1.3</b> 最优模型选择</a></li>
</ul></li>
<li class="chapter" data-level="4.2" data-path="stats.html"><a href="stats.html#高级统计学"><i class="fa fa-check"></i><b>4.2</b> 高级统计学</a>
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<li class="chapter" data-level="4.2.1" data-path="stats.html"><a href="stats.html#极大似然估计"><i class="fa fa-check"></i><b>4.2.1</b> 极大似然估计</a></li>
<li class="chapter" data-level="4.2.2" data-path="stats.html"><a href="stats.html#蒙地卡罗"><i class="fa fa-check"></i><b>4.2.2</b> 蒙地卡罗</a></li>
<li class="chapter" data-level="4.2.3" data-path="stats.html"><a href="stats.html#马尔可夫链"><i class="fa fa-check"></i><b>4.2.3</b> 马尔可夫链</a></li>
<li class="chapter" data-level="4.2.4" data-path="stats.html"><a href="stats.html#隐马尔可夫链"><i class="fa fa-check"></i><b>4.2.4</b> 隐马尔可夫链</a></li>
<li class="chapter" data-level="4.2.5" data-path="stats.html"><a href="stats.html#贝叶斯分析"><i class="fa fa-check"></i><b>4.2.5</b> 贝叶斯分析</a></li>
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<li class="chapter" data-level="4.3" data-path="stats.html"><a href="stats.html#统计学程序包"><i class="fa fa-check"></i><b>4.3</b> 统计学程序包</a></li>
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<li class="chapter" data-level="5" data-path="finance.html"><a href="finance.html"><i class="fa fa-check"></i><b>5</b> 金融交易</a>
<ul>
<li class="chapter" data-level="5.1" data-path="finance.html"><a href="finance.html#金融交易"><i class="fa fa-check"></i><b>5.1</b> 金融交易</a>
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<li class="chapter" data-level="5.1.1" data-path="finance.html"><a href="finance.html#金融交易介绍"><i class="fa fa-check"></i><b>5.1.1</b> 金融交易介绍</a></li>
<li class="chapter" data-level="5.1.2" data-path="finance.html"><a href="finance.html#金融数据"><i class="fa fa-check"></i><b>5.1.2</b> 金融数据</a></li>
<li class="chapter" data-level="5.1.3" data-path="finance.html"><a href="finance.html#金融交易统计模型介绍"><i class="fa fa-check"></i><b>5.1.3</b> 金融交易统计模型介绍</a></li>
</ul></li>
<li class="chapter" data-level="5.2" data-path="finance.html"><a href="finance.html#单变量统计模型"><i class="fa fa-check"></i><b>5.2</b> 单变量统计模型</a>
<ul>
<li class="chapter" data-level="5.2.1" data-path="finance.html"><a href="finance.html#lassoelasticnetridge模型"><i class="fa fa-check"></i><b>5.2.1</b> LASSO、ElasticNet、RIDGE模型</a></li>
<li class="chapter" data-level="5.2.2" data-path="finance.html"><a href="finance.html#arima模型"><i class="fa fa-check"></i><b>5.2.2</b> Arima模型</a></li>
<li class="chapter" data-level="5.2.3" data-path="finance.html"><a href="finance.html#指数平滑法"><i class="fa fa-check"></i><b>5.2.3</b> 指数平滑法</a></li>
<li class="chapter" data-level="5.2.4" data-path="finance.html"><a href="finance.html#garch模型"><i class="fa fa-check"></i><b>5.2.4</b> GARCH模型</a></li>
</ul></li>
<li class="chapter" data-level="5.3" data-path="finance.html"><a href="finance.html#多变量统计模型"><i class="fa fa-check"></i><b>5.3</b> 多变量统计模型</a>
<ul>
<li class="chapter" data-level="5.3.1" data-path="finance.html"><a href="finance.html#garch模型-1"><i class="fa fa-check"></i><b>5.3.1</b> GARCH模型</a></li>
<li class="chapter" data-level="5.3.2" data-path="finance.html"><a href="finance.html#section"><i class="fa fa-check"></i><b>5.3.2</b> </a></li>
</ul></li>
<li class="chapter" data-level="5.4" data-path="finance.html"><a href="finance.html#高频率交易模型"><i class="fa fa-check"></i><b>5.4</b> 高频率交易模型</a>
<ul>
<li class="chapter" data-level="5.4.1" data-path="finance.html"><a href="finance.html#seasonal-arima"><i class="fa fa-check"></i><b>5.4.1</b> Seasonal ARIMA</a></li>
<li class="chapter" data-level="5.4.2" data-path="finance.html"><a href="finance.html#midas模型"><i class="fa fa-check"></i><b>5.4.2</b> MIDAS模型</a></li>
<li class="chapter" data-level="5.4.3" data-path="finance.html"><a href="finance.html#midas-garch"><i class="fa fa-check"></i><b>5.4.3</b> MIDAS-GARCH</a></li>
<li class="chapter" data-level="5.4.4" data-path="finance.html"><a href="finance.html#garch模型-2"><i class="fa fa-check"></i><b>5.4.4</b> GARCH模型</a></li>
</ul></li>
<li class="chapter" data-level="5.5" data-path="finance.html"><a href="finance.html#其它统计模型"><i class="fa fa-check"></i><b>5.5</b> 其它统计模型</a>
<ul>
<li class="chapter" data-level="5.5.1" data-path="finance.html"><a href="finance.html#levy-process"><i class="fa fa-check"></i><b>5.5.1</b> Levy Process</a></li>
<li class="chapter" data-level="5.5.2" data-path="finance.html"><a href="finance.html#wavelet-tranforms"><i class="fa fa-check"></i><b>5.5.2</b> Wavelet Tranforms</a></li>
</ul></li>
<li class="chapter" data-level="5.6" data-path="finance.html"><a href="finance.html#投资管理"><i class="fa fa-check"></i><b>5.6</b> 投资管理</a>
<ul>
<li class="chapter" data-level="5.6.1" data-path="finance.html"><a href="finance.html#投资风险管理"><i class="fa fa-check"></i><b>5.6.1</b> 投资风险管理</a></li>
<li class="chapter" data-level="5.6.2" data-path="finance.html"><a href="finance.html#基金管理"><i class="fa fa-check"></i><b>5.6.2</b> 基金管理</a></li>
<li class="chapter" data-level="5.6.3" data-path="finance.html"><a href="finance.html#多元基金管理"><i class="fa fa-check"></i><b>5.6.3</b> 多元基金管理</a></li>
<li class="chapter" data-level="5.6.4" data-path="finance.html"><a href="finance.html#基金评估"><i class="fa fa-check"></i><b>5.6.4</b> 基金评估</a></li>
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<li class="chapter" data-level="5.7" data-path="finance.html"><a href="finance.html#金融交易程序包"><i class="fa fa-check"></i><b>5.7</b> 金融交易程序包</a></li>
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<li class="chapter" data-level="6" data-path="sportsbook.html"><a href="sportsbook.html"><i class="fa fa-check"></i><b>6</b> 体彩交易</a>
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<li class="chapter" data-level="6.1" data-path="sportsbook.html"><a href="sportsbook.html#体彩交易"><i class="fa fa-check"></i><b>6.1</b> 体彩交易</a>
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<li class="chapter" data-level="6.1.1" data-path="sportsbook.html"><a href="sportsbook.html#体彩交易介绍"><i class="fa fa-check"></i><b>6.1.1</b> 体彩交易介绍</a></li>
<li class="chapter" data-level="6.1.2" data-path="sportsbook.html"><a href="sportsbook.html#体彩数据"><i class="fa fa-check"></i><b>6.1.2</b> 体彩数据</a></li>
<li class="chapter" data-level="6.1.3" data-path="sportsbook.html"><a href="sportsbook.html#体彩交易统计模型介绍"><i class="fa fa-check"></i><b>6.1.3</b> 体彩交易统计模型介绍</a></li>
</ul></li>
<li class="chapter" data-level="6.2" data-path="sportsbook.html"><a href="sportsbook.html#足球赔率建模"><i class="fa fa-check"></i><b>6.2</b> 足球赔率建模</a>
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<li class="chapter" data-level="6.2.1" data-path="sportsbook.html"><a href="sportsbook.html#单变量泊松模型"><i class="fa fa-check"></i><b>6.2.1</b> 单变量泊松模型</a></li>
<li class="chapter" data-level="6.2.2" data-path="sportsbook.html"><a href="sportsbook.html#多变量泊松模型"><i class="fa fa-check"></i><b>6.2.2</b> 多变量泊松模型</a></li>
<li class="chapter" data-level="6.2.3" data-path="sportsbook.html"><a href="sportsbook.html#logistic模型"><i class="fa fa-check"></i><b>6.2.3</b> Logistic模型</a></li>
<li class="chapter" data-level="6.2.4" data-path="sportsbook.html"><a href="sportsbook.html#section-1"><i class="fa fa-check"></i><b>6.2.4</b> </a></li>
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<li class="chapter" data-level="6.3" data-path="sportsbook.html"><a href="sportsbook.html#足彩投注模型"><i class="fa fa-check"></i><b>6.3</b> 足彩投注模型</a>
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<li class="chapter" data-level="6.3.1" data-path="sportsbook.html"><a href="sportsbook.html#普通投注模型"><i class="fa fa-check"></i><b>6.3.1</b> 普通投注模型</a></li>
<li class="chapter" data-level="6.3.2" data-path="sportsbook.html"><a href="sportsbook.html#凯利投注模型"><i class="fa fa-check"></i><b>6.3.2</b> 凯利投注模型</a></li>
<li class="chapter" data-level="6.3.3" data-path="sportsbook.html"><a href="sportsbook.html#ohlc与garch应用"><i class="fa fa-check"></i><b>6.3.3</b> OHLC与GARCH应用</a></li>
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<li class="chapter" data-level="6.4" data-path="sportsbook.html"><a href="sportsbook.html#投资管理-1"><i class="fa fa-check"></i><b>6.4</b> 投资管理</a></li>
<li class="chapter" data-level="6.5" data-path="sportsbook.html"><a href="sportsbook.html#体彩交易程序包"><i class="fa fa-check"></i><b>6.5</b> 体彩交易程序包</a></li>
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<li class="chapter" data-level="7" data-path="lottery.html"><a href="lottery.html"><i class="fa fa-check"></i><b>7</b> 彩票、轮盘、老虎机与宾果</a>
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<li class="chapter" data-level="7.1" data-path="lottery.html"><a href="lottery.html#彩票分析与预测"><i class="fa fa-check"></i><b>7.1</b> 彩票分析与预测</a>
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<li class="chapter" data-level="7.1.1" data-path="lottery.html"><a href="lottery.html#数据与统计建模"><i class="fa fa-check"></i><b>7.1.1</b> 数据与统计建模</a></li>
<li class="chapter" data-level="7.1.2" data-path="lottery.html"><a href="lottery.html#投注模式与回酬"><i class="fa fa-check"></i><b>7.1.2</b> 投注模式与回酬</a></li>
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<li class="chapter" data-level="7.2" data-path="lottery.html"><a href="lottery.html#轮盘分析与预测"><i class="fa fa-check"></i><b>7.2</b> 轮盘分析与预测</a>
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<li class="chapter" data-level="7.2.1" data-path="lottery.html"><a href="lottery.html#数据与统计建模-1"><i class="fa fa-check"></i><b>7.2.1</b> 数据与统计建模</a></li>
<li class="chapter" data-level="7.2.2" data-path="lottery.html"><a href="lottery.html#投注模式与回酬-1"><i class="fa fa-check"></i><b>7.2.2</b> 投注模式与回酬</a></li>
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<li class="chapter" data-level="7.3" data-path="lottery.html"><a href="lottery.html#老虎机分析与预测"><i class="fa fa-check"></i><b>7.3</b> 老虎机分析与预测</a>
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<li class="chapter" data-level="7.3.1" data-path="lottery.html"><a href="lottery.html#数据与统计建模-2"><i class="fa fa-check"></i><b>7.3.1</b> 数据与统计建模</a></li>
<li class="chapter" data-level="7.3.2" data-path="lottery.html"><a href="lottery.html#投注模式与回酬-2"><i class="fa fa-check"></i><b>7.3.2</b> 投注模式与回酬</a></li>
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<li class="chapter" data-level="7.4" data-path="lottery.html"><a href="lottery.html#宾果分析与预测"><i class="fa fa-check"></i><b>7.4</b> 宾果分析与预测</a>
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<li class="chapter" data-level="7.4.1" data-path="lottery.html"><a href="lottery.html#数据与统计建模-3"><i class="fa fa-check"></i><b>7.4.1</b> 数据与统计建模</a></li>
<li class="chapter" data-level="7.4.2" data-path="lottery.html"><a href="lottery.html#投注模式与回酬-3"><i class="fa fa-check"></i><b>7.4.2</b> 投注模式与回酬</a></li>
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<li class="chapter" data-level="8" data-path="hft.html"><a href="hft.html"><i class="fa fa-check"></i><b>8</b> 高效率编程</a>
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<li class="chapter" data-level="8.1" data-path="hft.html"><a href="hft.html#环境"><i class="fa fa-check"></i><b>8.1</b> 环境</a></li>
<li class="chapter" data-level="8.2" data-path="hft.html"><a href="hft.html#高效数据处理"><i class="fa fa-check"></i><b>8.2</b> 高效数据处理</a></li>
<li class="chapter" data-level="8.3" data-path="hft.html"><a href="hft.html#高效统计建模"><i class="fa fa-check"></i><b>8.3</b> 高效统计建模</a></li>
<li class="chapter" data-level="8.4" data-path="hft.html"><a href="hft.html#高效率与高级r语言参考书"><i class="fa fa-check"></i><b>8.4</b> 高效率与高级R语言参考书</a></li>
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<li class="chapter" data-level="9" data-path="fund.html"><a href="fund.html"><i class="fa fa-check"></i><b>9</b> 基金与投资者管理模型</a>
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<li class="chapter" data-level="9.1" data-path="fund.html"><a href="fund.html#多元化基金管理"><i class="fa fa-check"></i><b>9.1</b> 多元化基金管理</a>
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<li class="chapter" data-level="9.1.1" data-path="fund.html"><a href="fund.html#多元化基金评估"><i class="fa fa-check"></i><b>9.1.1</b> 多元化基金评估</a></li>
<li class="chapter" data-level="9.1.2" data-path="fund.html"><a href="fund.html#section-2"><i class="fa fa-check"></i><b>9.1.2</b> </a></li>
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<li class="chapter" data-level="9.2" data-path="fund.html"><a href="fund.html#投资者管理"><i class="fa fa-check"></i><b>9.2</b> 投资者管理</a>
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<li class="chapter" data-level="9.2.1" data-path="fund.html"><a href="fund.html#投资者资金流动统计建模"><i class="fa fa-check"></i><b>9.2.1</b> 投资者资金流动统计建模</a></li>
<li class="chapter" data-level="9.2.2" data-path="fund.html"><a href="fund.html#section-3"><i class="fa fa-check"></i><b>9.2.2</b> </a></li>
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<li class="chapter" data-level="10" data-path="algorithm.html"><a href="algorithm.html"><i class="fa fa-check"></i><b>10</b> 程序交易</a>
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<li class="chapter" data-level="10.1" data-path="algorithm.html"><a href="algorithm.html#交易自动化"><i class="fa fa-check"></i><b>10.1</b> 交易自动化</a>
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<li class="chapter" data-level="10.1.1" data-path="algorithm.html"><a href="algorithm.html#数据连接自动化"><i class="fa fa-check"></i><b>10.1.1</b> 数据连接自动化</a></li>
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<li class="chapter" data-level="10.1.3" data-path="algorithm.html"><a href="algorithm.html#基金评估自动化"><i class="fa fa-check"></i><b>10.1.3</b> 基金评估自动化</a></li>
<li class="chapter" data-level="10.1.4" data-path="algorithm.html"><a href="algorithm.html#客户管理自动化"><i class="fa fa-check"></i><b>10.1.4</b> 客户管理自动化</a></li>
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<li class="chapter" data-level="10.3" data-path="algorithm.html"><a href="algorithm.html#section-4"><i class="fa fa-check"></i><b>10.3</b> </a></li>
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<li class="chapter" data-level="11" data-path="reference.html"><a href="reference.html"><i class="fa fa-check"></i><b>11</b> 参考文献</a></li>
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<i class="fa fa-circle-o-notch fa-spin"></i><a href="./"><img src='figure/quant-trade.jpg' width='480'><br>R语言玩转金融与体彩数据分析</a>
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<h1><span class="header-section-number">Chapter 9</span> 基金与投资者管理模型<a href="fund.html#fund" class="anchor-section" aria-label="Anchor link to header"></a></h1>
<div id="多元化基金管理" class="section level2 hasAnchor" number="9.1">
<h2><span class="header-section-number">9.1</span> 多元化基金管理<a href="fund.html#多元化基金管理" class="anchor-section" aria-label="Anchor link to header"></a></h2>
<div id="多元化基金评估" class="section level3 hasAnchor" number="9.1.1">
<h3><span class="header-section-number">9.1.1</span> 多元化基金评估<a href="fund.html#多元化基金评估" class="anchor-section" aria-label="Anchor link to header"></a></h3>
<blockquote>
<p><strong>Real world application example</strong>
MAB algorithms have multiple practical implementations in the real world, for example, price engine optimization or finding the best online campaign. Let’s focus on the first one and see how we can implement this in R. Imagine you are selling your products online and want to introduce a new one, but are not sure how to price it. You came up with 4 price candidates based on our expert knowledge and experience: 99<span class="math inline">\(, 100\)</span>, 115$ and 120<span class="math inline">\(. Now you want to test how those prices will perform and which to choose eventually. During first day of your experiment 4000 people visited your shop when the first price (99\)</span>) was tested and 368 bought the product,
for the rest of the prices we have the following outcome:
- 100$ 4060 visits and 355 purchases,
- 115$ 4011 visits and 373 purchases,
- 120$ 4007 visits and 230 purchases.</p>
</blockquote>
<p><em>Source : <a href="https://appsilon.com/an-introduction-to-monte-carlo-tree-search/">An introduction to Monte Carlo Tree Search</a></em></p>
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<h3><span class="header-section-number">9.1.2</span> </h3>
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<blockquote>
<p><strong>Real world application example</strong>
MAB algorithms have multiple practical implementations in the real world, for example, price engine optimization or finding the best online campaign. Let’s focus on the first one and see how we can implement this in R. Imagine you are selling your products online and want to introduce a new one, but are not sure how to price it. You came up with 4 price candidates based on our expert knowledge and experience: 99<span class="math inline">\(, 100\)</span>, 115$ and 120<span class="math inline">\(. Now you want to test how those prices will perform and which to choose eventually. During first day of your experiment 4000 people visited your shop when the first price (99\)</span>) was tested and 368 bought the product,
for the rest of the prices we have the following outcome:
- 100$ 4060 visits and 355 purchases,
- 115$ 4011 visits and 373 purchases,
- 120$ 4007 visits and 230 purchases.</p>
</blockquote>
<p><em>Source : <a href="https://appsilon.com/an-introduction-to-monte-carlo-tree-search/">An introduction to Monte Carlo Tree Search</a></em></p>
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<h3><span class="header-section-number">9.2.2</span> </h3>
<hr />
<p><a href="http://www.scibrokes.com"><img src="figure/Scibrokes.png" height="14"/> Sςιβrοκεrs Trαdιηg®</a><br>
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