{"id":14998,"date":"2026-05-01T10:11:00","date_gmt":"2026-05-01T02:11:00","guid":{"rendered":"https:\/\/blog.roboadvisor.com.tw\/?p=14998"},"modified":"2026-05-01T11:00:49","modified_gmt":"2026-05-01T03:00:49","slug":"%e4%b8%80%e8%90%ac%e6%ac%a1%e5%b9%b3%e8%a1%8c%e5%ae%87%e5%ae%99%ef%bc%9a%e8%92%99%e5%9c%b0%e5%8d%a1%e7%be%85%e6%a8%a1%e6%93%ac%e5%a6%82%e4%bd%95%e8%a8%88%e7%ae%97%e6%9c%aa%e7%9f%a5%e7%9a%84%e6%9c%aa","status":"publish","type":"post","link":"https:\/\/blog.roboadvisor.com.tw\/?p=14998","title":{"rendered":"\u4e00\u842c\u6b21\u5e73\u884c\u5b87\u5b99\uff1a\u8499\u5730\u5361\u7f85\u6a21\u64ec\u5982\u4f55\u8a08\u7b97\u672a\u77e5\u7684\u672a\u4f86\uff0c\u4ee5\u53ca\u6a21\u578b\u6c92\u544a\u8a34\u6211\u5011\u7684\u4e8b"},"content":{"rendered":"\n

\u6211\u5011\u7121\u6cd5\u9810\u6e2c\u672a\u4f86\uff0c\u4f46\u6211\u5011\u53ef\u4ee5\u70ba\u5176\u505a\u597d\u6e96\u5099\uff1a\u8499\u5730\u5361\u7f85\u8207\u90a3\u4e9b\u8a66\u5716\u91cf\u5316\u672a\u77e5\u7684\u6a21\u578b<\/strong><\/p>\n\n\n\n

1946 \u5e74\uff0c\u4e00\u4f4d\u540d\u53eb\u65af\u5854\u5c3c\u65af\u62c9\u592b\u00b7\u70cf\u62c9\u59c6\uff08Stanislaw Ulam\uff09\u7684\u6578\u5b78\u5bb6\u6b63\u5728\u5f9e\u4e00\u5834\u5dee\u9ede\u8981\u4e86\u4ed6\u547d\u7684\u8166\u708e\u4e2d\u5eb7\u5fa9\u3002\u5728\u6f2b\u9577\u4e14\u767e\u7121\u804a\u8cf4\u7684\u4f11\u990a\u671f\u9593\uff0c\u4ed6\u82b1\u4e86\u5f88\u591a\u6642\u9593\u73a9\u300c\u55ae\u4eba\u7d19\u724c\u300d\uff08Solitaire\uff09\u3002<\/p>\n\n\n\n

\u4f5c\u70ba\u4e00\u500b\u6578\u5b78\u5bb6\uff0c\u4ed6\u5fcd\u4e0d\u4f4f\u601d\u8003\u4e00\u500b\u554f\u984c\uff1a\u300c\u9019\u76e4\u724c\u5c40\u80fd\u5920\u7372\u52dd\u7684\u6a5f\u7387\u5230\u5e95\u662f\u591a\u5c11\uff1f\u300d<\/p>\n\n\n\n

\u4ed6\u8a66\u5716\u7528\u7d14\u7cb9\u7684\u6578\u5b78\u516c\u5f0f\u4f86\u8a08\u7b97\uff0c\u4f46\u4ed6\u5f88\u5feb\u767c\u73fe\uff0c\u9019\u592a\u8907\u96dc\u4e86\u3002\u8b8a\u6578\u592a\u591a\uff0c\u7d44\u5408\u592a\u591a\uff0c\u50b3\u7d71\u7684\u7d44\u5408\u6578\u5b78\u5728\u9019\u88e1\u5c31\u50cf\u662f\u7528\u653e\u5927\u93e1\u770b\u661f\u7a7a\u4e00\u6a23\u7121\u529b\u3002\u65bc\u662f\uff0c\u4ed6\u60f3\u5230\u4e86\u4e00\u500b\u6975\u5176\u7c21\u55ae\u3001\u751a\u81f3\u53ef\u4ee5\u8aaa\u662f\u66b4\u529b\u7684\u89e3\u6c7a\u65b9\u6848\uff1a\u8207\u5176\u5728\u90a3\u908a\u8a08\u7b97\u6a5f\u7387\uff0c\u4e0d\u5982\u6211\u76f4\u63a5\u73a9 100 \u5c40\uff0c\u7136\u5f8c\u6578\u6578\u770b\u6211\u8d0f\u4e86\u5e7e\u5c40\uff1f<\/strong> \u5982\u679c\u6211\u8d0f\u4e86 30 \u5c40\uff0c\u90a3\u6a5f\u7387\u5927\u7d04\u5c31\u662f 30%\u3002<\/p>\n\n\n\n

\u9019\u500b\u807d\u8d77\u4f86\u50cf\u662f\u5e38\u8b58\u7684\u60f3\u6cd5\uff0c\u5c31\u662f\u5f8c\u4f86\u88ab\u7a31\u70ba\u300c\u8499\u5730\u5361\u7f85\u6a21\u64ec\u300d\uff08Monte Carlo Simulation\uff09\u7684\u6838\u5fc3\u3002<\/p>\n\n\n\n

\u70cf\u62c9\u59c6\u628a\u9019\u500b\u60f3\u6cd5\u544a\u8a34\u4e86\u4ed6\u7684\u597d\u670b\u53cb\uff0c\u4e5f\u662f\u53f2\u4e0a\u6700\u8070\u660e\u7684\u5927\u8166\u4e4b\u4e00\u2014\u2014\u7d04\u7ff0\u00b7\u99ae\u00b7\u8afe\u4f0a\u66fc\uff08John von Neumann\uff09\u3002\u7576\u6642\u4ed6\u5011\u6b63\u5728\u7f8e\u570b\u6d1b\u65af\u963f\u62c9\u83ab\u65af\u570b\u5bb6\u5be6\u9a57\u5ba4\uff08Los Alamos\uff09\u53c3\u8207\u7814\u767c\u6838\u6b66\u5668\u3002\u99ae\u00b7\u8afe\u4f0a\u66fc\u7acb\u523b\u610f\u8b58\u5230\uff0c\u9019\u500b\u65b9\u6cd5\u53ef\u4ee5\u914d\u5408\u7576\u6642\u525b\u767c\u660e\u51fa\u4f86\u7684\u65e9\u671f\u96fb\u8166\uff08ENIAC\uff09\uff0c\u7528\u4f86\u8a08\u7b97\u6838\u9023\u9396\u53cd\u61c9\u4e2d\u90a3\u4e9b\u7121\u6cd5\u7528\u50b3\u7d71\u516c\u5f0f\u89e3\u958b\u7684\u4e2d\u5b50\u78b0\u649e\u6a5f\u7387\u3002<\/p>\n\n\n\n

\u81f3\u65bc\u70ba\u4ec0\u9ebc\u53eb\u300c\u8499\u5730\u5361\u7f85\u300d\uff1fMetropolis \u4ee5\u70cf\u62c9\u59c6\u90a3\u4f4d\u611b\u53bb\u6469\u7d0d\u54e5\u8499\u5730\u5361\u7f85\u8ced\u5834\u7684\u53d4\u53d4\u70ba\u9748\u611f\uff0c\u66ff\u9019\u7a2e\u5927\u91cf\u4f9d\u9760\u96a8\u6a5f\u62bd\u6a23\u7684\u8a08\u7b97\u65b9\u5f0f\u53d6\u4e86\u500b\u4ee3\u865f\uff1a\u300cMonte Carlo\u300d\u3002<\/p>\n\n\n\n

\u8499\u5730\u5361\u7f85\u6a21\u64ec\u7684\u672c\u8cea\uff0c\u5176\u5be6\u5c31\u662f\u4e00\u7a2e\u300c\u5c0d\u7121\u77e5\u7684\u8b19\u5351\u59a5\u5354\u300d<\/strong>\u3002<\/p>\n\n\n\n

\u6211\u5011\u627f\u8a8d\u4e16\u754c\u592a\u8907\u96dc\uff0c\u7121\u6cd5\u7528\u4e00\u689d\u5b8c\u7f8e\u7684\u516c\u5f0f\u9810\u6e2c\u672a\u4f86\u3002\u6240\u4ee5\uff0c\u6211\u5011\u628a\u5df2\u77e5\u7684\u898f\u5247\u4e1f\u9032\u96fb\u8166\u88e1\uff0c\u8b93\u5b83\u50cf\u64f2\u9ab0\u5b50\u4e00\u6a23\u8dd1\u500b\u4e00\u842c\u6b21\u3001\u5341\u842c\u6b21\uff0c\u770b\u770b\u672a\u4f86\u300c\u53ef\u80fd\u300d\u9577\u4ec0\u9ebc\u6a23\u5b50\u3002<\/p>\n\n\n\n

\u4f46\u96fb\u8166\u64f2\u9ab0\u5b50\uff0c\u4e5f\u9700\u8981\u4e00\u500b\u300c\u64f2\u9ab0\u5b50\u7684\u898f\u5247\u300d\u3002\u9019\u5c31\u662f\u6240\u8b02\u7684\u96a8\u6a5f\u6a21\u578b\uff08Stochastic Models\uff09<\/strong>\u3002\u9019\u4e9b\u6a21\u578b\u63cf\u8ff0\u4e86\u4e8b\u7269\u5728\u672a\u77e5\u4e2d\u8b8a\u5316\u7684\u7bc0\u594f\u3002\u4ee5\u4e0b\u662f\u5e7e\u7a2e\u6700\u5e38\u898b\u7684\u6a21\u578b\uff0c\u4ee5\u53ca\u5b83\u5011\u8a66\u5716\u6355\u6349\u7684\u4eba\u6027\u8207\u81ea\u7136\u898f\u5f8b\u3002<\/p>\n\n\n\n

\n\n\n\n

1. \u5e7e\u4f55\u5e03\u6717\u904b\u52d5 (Geometric Brownian Motion, GBM)<\/h3>\n\n\n\n

\u9019\u662f\u91d1\u878d\u754c\u6700\u5e38\u4f7f\u7528\u7684\u6a21\u578b\uff0c\u4e5f\u662f\u8499\u5730\u5361\u7f85\u6a21\u64ec\u4e2d\u6700\u7d93\u5178\u7684\u5f15\u64ce\u3002\u8981\u7406\u89e3\u5b83\uff0c\u6211\u5011\u5f97\u5148\u56de\u5230 1827 \u5e74\u3002<\/p>\n\n\n\n

\u7576\u6642\uff0c\u8607\u683c\u862d\u690d\u7269\u5b78\u5bb6\u7f85\u4f2f\u7279\u00b7\u5e03\u6717\uff08Robert Brown\uff09\u5728\u986f\u5fae\u93e1\u4e0b\u89c0\u5bdf\u61f8\u6d6e\u5728\u6c34\u4e2d\u7684\u82b1\u7c89\u5fae\u7c92\u3002\u4ed6\u767c\u73fe\u9019\u4e9b\u5fae\u7c92\u5728\u505a\u4e00\u7a2e\u5b8c\u5168\u7121\u898f\u5247\u3001\u6c38\u4e0d\u4f11\u6b62\u7684\u96a8\u6a5f\u8df3\u52d5\u3002\u4ed6\u4e0d\u77e5\u9053\u70ba\u4ec0\u9ebc\uff0c\u53ea\u80fd\u5c07\u5176\u8a18\u9304\u4e0b\u4f86\uff0c\u5f8c\u4f86\u9019\u88ab\u7a31\u70ba\u300c\u5e03\u6717\u904b\u52d5\u300d\u3002\u76f4\u5230 1905 \u5e74\uff0c\u611b\u56e0\u65af\u5766\u624d\u7528\u6578\u5b78\u8b49\u660e\uff0c\u9019\u4e9b\u82b1\u7c89\u662f\u88ab\u770b\u4e0d\u898b\u7684\u6c34\u5206\u5b50\u96a8\u6a5f\u649e\u64ca\u9020\u6210\u7684\u3002<\/p>\n\n\n\n

\u5230\u4e86 1960 \u5e74\u4ee3\uff0c\u7d93\u6fdf\u5b78\u5bb6\u4fdd\u7f85\u00b7\u85a9\u7e46\u723e\u68ee\uff08Paul Samuelson\uff09\u7b49\u4eba\u767c\u73fe\uff0c\u80a1\u7968\u50f9\u683c\u7684\u6ce2\u52d5\uff0c\u5c31\u50cf\u6c34\u4e2d\u7684\u82b1\u7c89\u4e00\u6a23\u3002<\/strong> \u6bcf\u5929\u7684\u8cb7\u55ae\u548c\u8ce3\u55ae\uff0c\u5c31\u50cf\u6c34\u5206\u5b50\u4e00\u6a23\u96a8\u6a5f\u649e\u64ca\u8457\u80a1\u50f9\u3002<\/p>\n\n\n\n

GBM \u6a21\u578b\u7684\u7279\u8272<\/strong>\u662f\u7d50\u5408\u4e86\u5169\u7a2e\u529b\u91cf\uff1a<\/p>\n\n\n\n

    \n
  1. \u6f02\u79fb\u7387 (Drift)\uff1a<\/strong> \u5c31\u50cf\u4e00\u500b\u559d\u9189\u9152\u7684\u4eba\uff0c\u96d6\u7136\u8d70\u8def\u6771\u5012\u897f\u6b6a\uff08\u96a8\u6a5f\uff09\uff0c\u4f46\u4ed6\u5fc3\u88e1\u4e00\u76f4\u60f3\u671d\u8457\u9152\u5427\u8d70\u53bb\uff08\u8da8\u52e2\uff09\u3002\u5728\u80a1\u5e02\u4e2d\uff0c\u9019\u4ee3\u8868\u9577\u671f\u7684\u9810\u671f\u5831\u916c\u7387\u3002<\/li>\n\n\n\n
  2. \u6ce2\u52d5\u7387 (Volatility)\uff1a<\/strong> \u4ee3\u8868\u9019\u500b\u9189\u6f22\u6b65\u4f10\u7684\u985b\u7c38\u7a0b\u5ea6\u3002*\u300c\u5e7e\u4f55\u300d*\u5169\u500b\u5b57\u5f88\u91cd\u8981\uff0c\u5b83\u610f\u5473\u8457\u50f9\u683c\u7684\u8b8a\u5316\u662f\u300c\u767e\u5206\u6bd4\u300d\u800c\u975e\u300c\u7d55\u5c0d\u91d1\u984d\u300d\u3002\u9019\u78ba\u4fdd\u4e86\u80a1\u7968\u50f9\u683c\u6c38\u9060\u4e0d\u6703\u8dcc\u7834\u96f6\u3002<\/li>\n<\/ol>\n\n\n\n

    GBM\u5e38\u7528\u65bc\u9078\u64c7\u6b0a\u5b9a\u50f9\uff08\u5982\u7d93\u5178\u7684 Black-Scholes \u6a21\u578b\u57fa\u790e\uff09\u3001\u9577\u671f\u7684\u80a1\u7968\u8cc7\u7522\u914d\u7f6e\u9810\u6e2c\uff0c\u5b83\u5047\u8a2d\u4e16\u754c\u7684\u8b8a\u5316\u662f\u300c\u5e73\u6ed1\u4e14\u9023\u7e8c\u300d\u7684\uff0c\u4e26\u4e14\u5047\u8a2d\u6ce2\u52d5\u7387\u6c38\u9060\u4e0d\u8b8a\u3002\u4f46\u6211\u5011\u90fd\u77e5\u9053\uff0c\u73fe\u5be6\u4e2d\u7684\u5e02\u5834\u4e00\u9ede\u90fd\u4e0d\u5e73\u6ed1\u3002\u5b83\u6c92\u6709\u8003\u616e\u5230\u6975\u7aef\u4e8b\u4ef6\u2014\u2014\u4e5f\u5c31\u662f\u6240\u8b02\u7684\u300c\u9ed1\u5929\u9d5d\u300d\u6216\u300c\u80a5\u5c3e\u6548\u61c9\u300d\u3002 <\/p>\n\n\n\n

    2. \u5747\u503c\u56de\u6b78\u6a21\u578b (Mean-Reverting Models)<\/h3>\n\n\n\n

    \u5982\u679c GBM \u662f\u4e00\u9846\u6c92\u6709\u76e1\u982d\u7684\u6c23\u7403\uff0c\u90a3\u5747\u503c\u56de\u6b78\u6a21\u578b\u5c31\u662f\u4e00\u689d\u6a61\u76ae\u7b4b<\/strong>\u3002<\/p>\n\n\n\n

    \u5728 1970 \u5e74\u4ee3\u672b\u671f\uff0c\u91d1\u878d\u5b78\u5bb6 Vasicek (1977) \u548c Cox, Ingersoll, Ross (CIR, 1985) \u767c\u73fe\uff0c\u4e26\u4e0d\u662f\u6240\u6709\u6771\u897f\u90fd\u50cf\u80a1\u7968\u4e00\u6a23\u6703\u7121\u9650\u4e0a\u6f32\u3002\u4f8b\u5982\u300c\u5229\u7387\u300d\u6216\u300c\u5927\u5b97\u5546\u54c1\uff08\u5982\u77f3\u6cb9\u3001\u5c0f\u9ea5\uff09\u300d\u3002\u5982\u679c\u6cb9\u50f9\u592a\u9ad8\uff0c\u4eba\u5011\u6703\u6e1b\u5c11\u958b\u8eca\uff0c\u6cb9\u4f01\u6703\u760b\u72c2\u958b\u63a1\uff0c\u6700\u7d42\u6cb9\u50f9\u6703\u8dcc\u56de\u4f86\uff1b\u5982\u679c\u5229\u7387\u592a\u9ad8\uff0c\u7d93\u6fdf\u6703\u8870\u9000\uff0c\u592e\u884c\u5c31\u6703\u964d\u606f\u3002<\/p>\n\n\n\n

    \u9019\u7a2e\u6a21\u578b\uff08\u5982 Ornstein-Uhlenbeck \u904e\u7a0b\uff09\u5047\u8a2d\u4e8b\u7269\u6709\u4e00\u80a1\u5411\u300c\u6b77\u53f2\u5e73\u5747\u503c\u300d\u62c9\u626f\u7684\u5f15\u529b\u3002\u504f\u96e2\u5e73\u5747\u503c\u8d8a\u9060\uff0c\u62c9\u56de\u4f86\u7684\u529b\u91cf\u5c31\u8d8a\u5927\u3002\u6b64\u6a21\u578b\u5e38\u7528\u65bc\u5229\u7387\u884d\u751f\u6027\u5546\u54c1\u3001\u539f\u7269\u6599\u50f9\u683c\u9810\u6e2c\u3002<\/p>\n\n\n\n

    \u4e0d\u904e\uff0c\u5728\u5feb\u901f\u8b8a\u5316\u7684\u6642\u4ee3\uff08\u4f8b\u5982\u80fd\u6e90\u8f49\u578b\u671f\uff09\uff0c\u904e\u53bb 20 \u5e74\u7684\u5e73\u5747\u503c\uff0c\u53ef\u80fd\u5728\u672a\u4f86 10 \u5e74\u6beb\u7121\u53c3\u8003\u50f9\u503c\u3002\u5b83\u4f4e\u4f30\u4e86\u7d50\u69cb\u6027\u6539\u8b8a\u7684\u5a01\u529b\u3002<\/p>\n\n\n\n

    3. \u8df3\u8e8d\u64f4\u6563\u6a21\u578b (Jump Diffusion Models)<\/h3>\n\n\n\n

    1976 \u5e74\uff0c\u7d93\u6fdf\u5b78\u5bb6\u7f85\u4f2f\u7279\u00b7\u9ed8\u9813\uff08Robert Merton\uff09\u5c0d GBM \u6a21\u578b\u63d0\u51fa\u4e86\u4e00\u500b\u6df1\u523b\u7684\u8cea\u7591\uff1a\u771f\u5be6\u7684\u5e02\u5834\u4e0d\u50c5\u50c5\u662f\u82b1\u7c89\u5fae\u7c92\u7684\u6eab\u548c\u78b0\u649e\uff0c\u5e02\u5834\u6709\u6642\u6703\u906d\u9047\u300c\u5fc3\u808c\u6897\u585e\u300d\u3002<\/p>\n\n\n\n

    GBM \u8a8d\u70ba\u80a1\u50f9\u8dcc 20% \u9700\u8981\u7d93\u904e\u5e7e\u5929\u3001\u5e7e\u9031\u7684\u9023\u7e8c\u4e0b\u8dcc\u3002\u4f46\u73fe\u5be6\u4e2d\uff0c\u4e00\u500b\u7a81\u767c\u7684\u65b0\u805e\uff08\u4f8b\u5982 911 \u4e8b\u4ef6\u30012008 \u5e74\u96f7\u66fc\u5144\u5f1f\u7834\u7522\u30012020 \u5e74\u65b0\u51a0\u75ab\u60c5\u7206\u767c\uff09\uff0c\u53ef\u4ee5\u8b93\u5e02\u5834\u5728\u958b\u76e4\u7684\u4e00\u79d2\u9418\u5167\u77ac\u9593\u51fa\u73fe\u5de8\u5927\u7684\u300c\u65b7\u5c64\u300d\u3002<\/p>\n\n\n\n

    \u9ed8\u9813\u5728\u539f\u6709\u7684 GBM \u6a21\u578b\u4e0a\uff0c\u52a0\u4e0a\u4e86\u4e00\u500b\u300c\u6cca\u677e\u904e\u7a0b\uff08Poisson process\uff09\u300d\u3002\u9019\u610f\u5473\u8457\u8cc7\u7522\u50f9\u683c\u9664\u4e86\u65e5\u5e38\u7684\u96a8\u6a5f\u6f2b\u6b65\u5916\uff0c\u5076\u723e\u6703\u6beb\u7121\u9810\u8b66\u5730\u767c\u751f\u5de8\u5927\u7684\u300c\u8df3\u8e8d\u300d\uff08\u66b4\u8dcc\u6216\u66b4\u6f32\uff09\u3002\u8df3\u8e8d\u64f4\u6563\u6a21\u578b (Jump Diffusion Models)\u5e38\u7528\u65bc\u8a55\u4f30\u5c3e\u90e8\u98a8\u96aa\uff08Tail Risk\uff09\u3001\u8a2d\u8a08\u5c0d\u6c96\u6975\u7aef\u5e02\u5834\u5d29\u76e4\u7684\u4fdd\u96aa\u7b56\u7565\u3002<\/p>\n\n\n\n

    \u6a21\u578b\u8b8a\u5f97\u66f4\u52a0\u8907\u96dc\uff0c\u4f60\u9700\u8981\u4f30\u8a08\u300c\u8df3\u8e8d\u767c\u751f\u7684\u983b\u7387\u300d\u548c\u300c\u8df3\u8e8d\u7684\u5e45\u5ea6\u300d\u3002\u4f46\u707d\u96e3\u4e4b\u6240\u4ee5\u662f\u707d\u96e3\uff0c\u6b63\u662f\u56e0\u70ba\u5b83\u5011\u96e3\u4ee5\u9810\u6e2c\u983b\u7387\u8207\u5e45\u5ea6\u3002<\/p>\n\n\n\n

    4. \u96a8\u6a5f\u6ce2\u52d5\u7387\u6a21\u578b (Stochastic Volatility Models)<\/h3>\n\n\n\n

    \u4eba\u5011\u5728\u5e02\u5834\u6253\u6efe\u4e45\u4e86\u5f8c\u767c\u73fe\u4e00\u500b\u6b98\u9177\u7684\u771f\u76f8\uff1a\u6050\u614c\u672c\u8eab\uff0c\u662f\u6703\u50b3\u67d3\u7684\u3002<\/strong><\/p>\n\n\n\n

    1987 \u5e74\u7684\u300c\u9ed1\u8272\u661f\u671f\u4e00\u300d\uff0c\u7f8e\u80a1\u55ae\u65e5\u66b4\u8dcc\u8d85\u904e 20%\u3002\u9019\u8b93\u91d1\u878d\u754c\u610f\u8b58\u5230\uff0c\u50b3\u7d71\u6a21\u578b\u5047\u8a2d\u300c\u6ce2\u52d5\u7387\uff08\u98a8\u96aa\uff09\u662f\u56fa\u5b9a\u7684\u300d\u7c21\u76f4\u932f\u5f97\u96e2\u8b5c\u30021993 \u5e74\uff0c\u5b78\u8005 Steven Heston \u63d0\u51fa\u4e86\u8457\u540d\u7684 Heston \u6a21\u578b\u3002<\/p>\n\n\n\n

    \u5728\u9019\u500b\u6a21\u578b\u4e2d\uff0c\u4e0d\u50c5\u300c\u50f9\u683c\u300d\u662f\u96a8\u6a5f\u6f2b\u6b65\u7684\uff0c\u9023\u300c\u6ce2\u52d5\u7387\uff08\u98a8\u96aa\uff09\u300d\u672c\u8eab\u4e5f\u662f\u96a8\u6a5f\u6f2b\u6b65\u7684\u3002\u7576\u5e02\u5834\u5927\u8dcc\u6642\uff0c\u6ce2\u52d5\u7387\u6703\u6025\u907d\u4e0a\u5347\uff0c\u5f62\u6210\u60e1\u6027\u5faa\u74b0\u3002\u5b83\u627f\u8a8d\u4e86\u4eba\u6027\u7684\u8106\u5f31\u2014\u2014\u7576\u4e8b\u60c5\u8b8a\u7cdf\u6642\uff0c\u4eba\u5011\u7684\u884c\u70ba\u6703\u8b8a\u5f97\u66f4\u52a0\u4e0d\u53ef\u9810\u6e2c\u3002<\/p>\n\n\n\n

    \u56e0\u6b64\uff0c\u96a8\u6a5f\u6ce2\u52d5\u7387\u6a21\u578b (Stochastic Volatility Models)\u5e38\u7528\u65bc\u8907\u96dc\u884d\u751f\u6027\u91d1\u878d\u5546\u54c1\u7684\u5b9a\u50f9\u3001\u9ad8\u983b\u4ea4\u6613\u8207\u52d5\u614b\u5c0d\u6c96\u3002<\/p>\n\n\n\n

    \u4e0d\u904e\uff0c\u6b64\u6a21\u578b\u8a08\u7b97\u91cf\u6975\u5927\u3002\u4f60\u7b49\u65bc\u662f\u5728\u4e00\u500b\u8499\u5730\u5361\u7f85\u6a21\u64ec\u88e1\u9762\uff0c\u518d\u8dd1\u53e6\u4e00\u500b\u8499\u5730\u5361\u7f85\u6a21\u64ec\u3002<\/p>\n\n\n\n

    \n\n\n\n

    \u73fe\u5be6\u8207\u6a21\u578b\u7684\u8ddd\u96e2<\/h3>\n\n\n\n

    \u5728\u8a66\u5716\u7528\u9019\u4e9b\u7cbe\u7dfb\u7684\u6a21\u578b\u4f86\u638c\u63a7\u672a\u4f86\u6642\uff0c\u6211\u5011\u5fc5\u9808\u7262\u8a18\u4e00\u53e5\u8a71\uff1a\u300c\u5730\u5716\u4e0d\u7b49\u65bc\u7586\u57df\u3002\u300d\uff08The map is not the territory.\uff09<\/strong><\/p>\n\n\n\n

    \u6211\u5011\u901a\u5e38\u6703\u600e\u9ebc\u7528\u9019\u4e9b\u6a21\u578b\uff1f\u5728\u5be6\u52d9\u4e0a\uff0c\u8ca1\u52d9\u9867\u554f\u6703\u628a\u4f60\u76ee\u524d\u7684\u8cc7\u7522\u3001\u6bcf\u500b\u6708\u7684\u5b58\u6b3e\uff0c\u653e\u9032\u4e00\u500b\u4ee5 GBM \u70ba\u57fa\u790e\u7684\u8499\u5730\u5361\u7f85\u6a21\u64ec\u4e2d\uff0c\u8dd1\u500b\u4e00\u842c\u6b21\u3002\u7136\u5f8c\u544a\u8a34\u4f60\uff1a\u300c\u5728 85% \u7684\u5e73\u884c\u5b87\u5b99\u88e1\uff0c\u4f60\u7684\u9322\u8db3\u5920\u4f60\u5b89\u5ea6\u665a\u5e74\u3002\u300d<\/p>\n\n\n\n

    \u9019\u807d\u8d77\u4f86\u5f88\u4ee4\u4eba\u5b89\u5fc3\u3002\u4f46\u8499\u5730\u5361\u7f85\u6a21\u64ec\u6700\u5927\u7684\u5371\u96aa\u5728\u65bc\uff0c\u5b83\u6703\u7d66\u4eba\u4e00\u7a2e\u300c\u865b\u5047\u7684\u7cbe\u78ba\u611f\u300d\u3002<\/p>\n\n\n\n

    \u5b83\u80fd\u5b8c\u7f8e\u8a08\u7b97\u51fa\u6578\u5b57\u7684\u6a5f\u7387\uff0c\u4f46\u5b83\u7121\u6cd5\u6a21\u64ec\u51fa\u4f60\u5728\u7d93\u6b77\u5e02\u5834\u5d29\u76e4\u8dcc\u6389 40% \u6642\uff0c\u90a3\u7a2e\u80c3\u90e8\u7ffb\u652a\u3001\u591c\u4e0d\u80fd\u5bd0\uff0c\u6700\u7d42\u5728\u8c37\u5e95\u6050\u614c\u62cb\u552e\u7684\u300c\u4eba\u6027\u300d\u3002\u6a21\u578b\u5047\u8a2d\u4f60\u6703\u50cf\u6a5f\u5668\u4e00\u6a23\u5805\u5b88\u7d00\u5f8b\uff0c\u4f46\u73fe\u5be6\u4e2d\uff0c\u6539\u8b8a\u6211\u5011\u8ca1\u52d9\u547d\u904b\u7684\uff0c\u5f80\u5f80\u662f\u90a3\u4e9b\u5728\u6975\u5ea6\u58d3\u529b\u4e0b\u505a\u51fa\u7684\u975e\u7406\u6027\u6c7a\u5b9a\u3002<\/p>\n\n\n\n

    \u8499\u5730\u5361\u7f85\u6a21\u64ec\u7684\u7f8e\u5999\u4e4b\u8655\uff0c\u4e0d\u5728\u65bc\u5b83\u80fd\u544a\u8a34\u6211\u5011\u300c\u672a\u4f86\u6703\u767c\u751f\u4ec0\u9ebc\u300d\uff0c\u800c\u5728\u65bc\u5b83\u5f37\u8feb\u6211\u5011\u627f\u8a8d\u300c\u672a\u4f86\u6709\u4e00\u842c\u7a2e\u53ef\u80fd\u300d\u3002<\/p>\n\n\n\n

    \u6211\u5011\u505a\u6a21\u64ec\uff0c\u4e0d\u662f\u70ba\u4e86\u7372\u5f97\u4e00\u500b\u78ba\u5b9a\u7684\u6578\u5b57\uff0c\u800c\u662f\u70ba\u4e86\u57f9\u990a\u4e00\u7a2e\u8ca1\u52d9\u4e0a\u7684\u97cc\u6027\uff08Resilience\uff09<\/strong>\u2014\u2014\u78ba\u4fdd\u5373\u4f7f\u6211\u5011\u4e0d\u5e78\u843d\u5165\u4e86\u90a3 5% \u6700\u7cdf\u7cd5\u7684\u5e73\u884c\u5b87\u5b99\u4e2d\uff0c\u6211\u5011\u4f9d\u7136\u6709\u8db3\u5920\u7684\u5b89\u5168\u908a\u969b\uff08Margin of Safety\uff09\u53ef\u4ee5\u5b58\u6d3b\u4e0b\u4f86\u3002<\/p>\n\n\n\n

    \u7562\u7adf\uff0c\u5c31\u50cf\u70cf\u62c9\u59c6\u7684\u55ae\u4eba\u7d19\u724c\u4e00\u6a23\uff0c\u6211\u5011\u6c38\u9060\u4e0d\u77e5\u9053\u4e0b\u4e00\u5f35\u7ffb\u958b\u7684\u6703\u662f\u4ec0\u9ebc\u724c\uff0c\u6211\u5011\u80fd\u505a\u7684\uff0c\u5c31\u662f\u78ba\u4fdd\u81ea\u5df1\u9084\u6709\u7c4c\u78bc\u7559\u5728\u684c\u4e0a\u3002<\/p>\n\n\n\n

    \n

    <\/p>\n\n\n\n

    \u7acb\u5373\u555f\u52d5\u500b\u4eba\u8ca1\u5bcc\u8a08\u756b<\/strong><\/h2>\n\n\n\n
    \n
    \u514d\u8cbb\u8a3b\u518a\u963f\u723e\u767c\u6703\u54e1<\/a><\/div>\n<\/div>\n\n\n\n
    \n
    \u7acb\u5373\u52a0\u5165\u963f\u723e\u767c\u5b98\u65b9Line@<\/a><\/div>\n<\/div>\n<\/div>\n\n\n\n

    <\/p>\n","protected":false},"excerpt":{"rendered":"

    \u6211\u5011\u7121\u6cd5\u9810\u6e2c\u672a\u4f86\uff0c\u4f46\u6211\u5011\u53ef\u4ee5\u70ba\u5176\u505a\u597d\u6e96\u5099\uff1a\u8499\u5730\u5361\u7f85\u8207\u90a3\u4e9b\u8a66\u5716\u91cf\u5316\u672a\u77e5\u7684\u6a21\u578b 1946 \u5e74\uff0c\u4e00\u4f4d\u540d\u53eb\u65af\u5854\u5c3c\u65af\u62c9\u592b […]<\/p>\n","protected":false},"author":3,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[7],"tags":[],"class_list":["post-14998","post","type-post","status-publish","format-standard","hentry","category-market-insights"],"blocksy_meta":[],"_links":{"self":[{"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/posts\/14998","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=14998"}],"version-history":[{"count":2,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/posts\/14998\/revisions"}],"predecessor-version":[{"id":15046,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/posts\/14998\/revisions\/15046"}],"wp:attachment":[{"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14998"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14998"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14998"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}