Portfolio choice and the Bayesian Kelly criterion

DOI10.2307/1428168zbMath0867.90010OpenAlexW2105364396MaRDI 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 utilityinvestment policiesoptimal gamblingcontinuous-time analog involving Brownian motionfinancial cost of learning

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Portfolio theory (91G10)

Related Items (22)

Kelly investing with downside risk control in a regime-switching market ⋮ 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 ⋮ A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL ⋮ A renewal theory approach to two-state switching problems with infinite values ⋮ The Myopic Property in Decision Models ⋮ Welfare effects of information and rationality in portfolio decisions under parameter uncertainty ⋮ MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS ⋮ FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES ⋮ Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach ⋮ Analysis of Kelly-optimal portfolios ⋮ A stochastic-difference-equation model for hedge-fund returns ⋮ MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY ⋮ Simulated annealing algorithm for optimal capital growth ⋮ Time to wealth goals in capital accumulation ⋮ Investment strategies in the long run with proportional transaction costs and a HARA utility function ⋮ Optimal trading strategy for an investor: the case of partial information ⋮ INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS ⋮ Kelly Criterion: From a Simple Random Walk to Lévy Processes ⋮ Maximizing the probability of a perfect hedge ⋮ High-risk and competitive investment models ⋮ Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients

This page was built for publication: Portfolio choice and the Bayesian Kelly criterion