IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES

DOI10.1142/S0219024910005693zbMath1203.91276arXiv0903.2910MaRDI QIDQ3560082

Yingdong Lv, Bernhard K. Meister

Publication date: 19 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.2910

zbMATH Keywords

Brownian motiondiffusion processesKelly criterionutility functionvalue-at-riskcomplete marketself-financingOrnstein-Uhlenbeckrisk-neutral measureoptimal investment strategy

Mathematics Subject Classification ID

Applications of game theory (91A80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Probabilistic games; gambling (91A60)

Cites Work

• Unnamed Item
• Martingale methods in financial modelling.
• Risk-sensitive dynamic asset management
• Risk-sensitive portfolio optimization on infinite time horizon

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