Analysis of Kelly-optimal portfolios

DOI10.1080/14697680902991619zbMath1197.91200arXiv0712.2771OpenAlexW2108347065MaRDI QIDQ2786274

Paolo Laureti, Yi-Cheng Zhang, Matúš Medo

Publication date: 21 September 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.2771

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (3)

Transaction cost optimization for online portfolio selection ⋮ GENERALIZED FRAMEWORK FOR APPLYING THE KELLY CRITERION TO STOCK MARKETS ⋮ Effect of compositional fluctuation on the survival of bet-hedging species

Cites Work

• Large-Scale Portfolio Optimization
• Optimal strategies for repeated games
• Growth Versus Security in Dynamic Investment Analysis
• Optimal Investment Strategy for Risky Assets
• Portfolio choice and the Bayesian Kelly criterion
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Order Statistics
• Stochastic Dominance among Log-Normal Prospects
• Elements of Information Theory
• The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling

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