Portfolio choice and the Bayesian Kelly criterion

DOI10.2307/1428168zbMath0867.90010MaRDI QIDQ4332214

Ward Whitt, Sid Browne

Publication date: 13 February 1997

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1428168

zbMATH Keywords

logarithmic utility; investment policies; optimal gambling; continuous-time analog involving Brownian motion; financial cost of learning

Mathematics Subject Classification ID

62C10: Bayesian problems; characterization of Bayes procedures

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

91G10: Portfolio theory

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