IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES (Q3560082)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES |
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IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES (English)
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19 May 2010
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utility function
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Kelly criterion
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optimal investment strategy
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self-financing
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complete market
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risk-neutral measure
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Brownian motion
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Ornstein-Uhlenbeck
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diffusion processes
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value-at-risk
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