The Kelly Criterion and the Stock Market
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Publication:5286366
DOI10.2307/2324484zbMath0768.90105OpenAlexW2312444015MaRDI QIDQ5286366
Louis M. Rotando, Edward O. Thorp
Publication date: 29 June 1993
Published in: The American Mathematical Monthly (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2324484
stock marketKelly criterionbinomial gambling gamescontinuous gambling gamesfavorable gambling gamesoptimal resource apportionment
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Gambling Under Unknown Probabilities as Proxy for Real World Decisions Under Uncertainty ⋮ Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ GENERALIZED FRAMEWORK FOR APPLYING THE KELLY CRITERION TO STOCK MARKETS ⋮ On asymptotic log-optimal portfolio optimization ⋮ Capital growth with security ⋮ Online portfolio selection ⋮ Cooperation evolution in random multiplicative environments ⋮ Investment strategies in the long run with proportional transaction costs and a HARA utility function ⋮ Shrinkage estimation of Kelly portfolios ⋮ Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion ⋮ Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
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