Kelly Criterion: From a Simple Random Walk to Lévy Processes

DOI10.1137/20M1330488zbMath1469.60139arXiv2002.03448OpenAlexW3134818992MaRDI QIDQ4987720

Austin Pollok, Sergey V. Lototsky

Publication date: 4 May 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.03448

zbMATH Keywords

weak convergencelogarithmic utilityprocesses with independent increments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Probabilistic games; gambling (91A60)

Related Items (1)

On asymptotic log-optimal portfolio optimization

Cites Work

• Products of trees for investment analysis
• On convergence of random walks generated by compound Cox processes to Lévy processes
• Portfolio choice and the Bayesian Kelly criterion
• Financial Modelling with Jump Processes
• Probability theory. A comprehensive course
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