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作者 我想我會這樣做顧問模型 ...
roysiu





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於 2015-01-17 03:10 user profilesend a private message to usersend email to roysiureply to postreply to postsearch all posts byselect and copy to clipboard. 
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the ALM is a game of making borrow, invest, pay-back, asset buying, operating strategies. You are one of the player. And the other player is the market with strategy like market accommodated to bullish thinking or bearish thinking, interest rate fluctuation, inflation of asset price, etc. The game may be fair or not fair. But one thing could know is that it is easy come to an equilibrium, which mean after considering the PnL of each strategy, it will restrict you or market to play only few options of strategies as act with other strategies will lead no gain for you or the market. Though, the world is not so easy. The market may not always want you profit. And in other words, it may use mixed strategies, which mean the market will not fix its strategy but randomly choose one among all possible strategies, in order to confuse you and let you don't know what's happen. At the time, it will come to a game called stochastic game. On the context of this kind of random game model, if you can know what is the PnL among those strategies options between you and the market, one would easy know what to act and what is the optimized strategy ...

roysiu edited on 2015-01-17 03:19
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