Kelly investing with downside risk control in a regime-switching market

DOI10.1080/14697688.2021.1993617zbMath1484.91435OpenAlexW3217521216MaRDI QIDQ5068071

Yonggan Zhao, Leonard C. MacLean

Publication date: 5 April 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2021.1993617

zbMATH Keywords

risk controlswitching regimesblended Kelly strategyoptimal growth investingshortfall rate and size

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10) Financial markets (91G15)

Related Items (1)

On asymptotic log-optimal portfolio optimization

Cites Work

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• Capital growth with security
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Advances in prospect theory: cumulative representation of uncertainty
• Prospect Theory: An Analysis of Decision under Risk
• Portfolio choice and the Bayesian Kelly criterion
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Optimal capital growth with convex shortfall penalties

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