The Kelly growth optimal strategy with a stop-loss rule

DOI10.1080/14697688.2013.868923zbMath1423.91007arXiv1311.2550OpenAlexW127353325MaRDI QIDQ5245452

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Publication date: 8 April 2015

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

Full work available at URL: https://arxiv.org/abs/1311.2550

zbMATH Keywords

Kelly strategystop-loss rule

Mathematics Subject Classification ID

Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Reaching goals by a deadline: digital options and continuous-time active portfolio management

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