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Growth versus security tradeoffs in dynamic investment analysis

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Publication:1289302
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DOI10.1023/A:1018969727211zbMath0920.90007OpenAlexW88739019MaRDI QIDQ1289302

William T. Ziemba, Leonard C. MacLean

Publication date: 27 May 1999

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1018969727211


zbMATH Keywords

fractional Kelly strategiesoptimal dynamic choice


Mathematics Subject Classification ID

Probabilistic games; gambling (91A60)


Related Items (9)

Capital growth with security ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs ⋮ The duality of option investment strategies for hedge funds ⋮ Online portfolio selection ⋮ Partial-Kelly Strategies and Expected Utility: Small-Edge Asymptotics ⋮ Time to wealth goals in capital accumulation ⋮ Far from the madding crowd: collective wisdom in prediction markets ⋮ Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion ⋮ Scoring Probability Forecasts by a User’s Bets Against a Market Consensus







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