Capital growth with security

DOI10.1016/S0165-1889(03)00056-3zbMath1179.91235MaRDI QIDQ951507

William T. Ziemba, Yonggan Zhao, Rafael Sanegre, Leonard C. MacLean

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

value at riskscenario generationdrawdown constraintcapital growthgrowth and securityKelly strategy

Mathematics Subject Classification ID

Stochastic programming (90C15) Management decision making, including multiple objectives (90B50) Portfolio theory (91G10)

Related Items (15)

Kelly investing with downside risk control in a regime-switching market ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ GENERALIZED FRAMEWORK FOR APPLYING THE KELLY CRITERION TO STOCK MARKETS ⋮ Weighted entropy and optimal portfolios for risk-averse Kelly investments ⋮ Risk-sensitive benchmarked asset management ⋮ A Probability Scoring Rule for Simultaneous Events ⋮ Using the Kelly Criterion for Investing ⋮ Partial-Kelly Strategies and Expected Utility: Small-Edge Asymptotics ⋮ Time to wealth goals in capital accumulation ⋮ MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS ⋮ Shrinkage estimation of Kelly portfolios ⋮ Far from the madding crowd: collective wisdom in prediction markets ⋮ Optimal capital growth with convex shortfall penalties ⋮ Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion ⋮ Scoring Probability Forecasts by a User’s Bets Against a Market Consensus

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