KELLY TRADING AND MARKET EQUILIBRIUM

DOI10.1142/S0219024923500012OpenAlexW3016799268MaRDI QIDQ5889360

Hans-Peter Bermin, Magnus Holm

Publication date: 20 April 2023

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

Full work available at URL: https://doi.org/10.1142/s0219024923500012

zbMATH Keywords

market equilibriumKelly criterionportfolio theoryfractional Kelly

Mathematics Subject Classification ID

Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

Cites Work

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• Shock elasticities and impulse responses
• The Malliavin Calculus and Related Topics
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Growth Versus Security in Dynamic Investment Analysis
• Stochastic differential portfolio games
• The Kelly system maximizes median fortune
• An Intertemporal Capital Asset Pricing Model
• Investment policies for expanding businesses optimal in a long‐run sense
• Risk‐sensitive benchmarked asset management with expert forecasts

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