Weighted entropy and optimal portfolios for risk-averse Kelly investments (Q1692288)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weighted entropy and optimal portfolios for risk-averse Kelly investments |
scientific article |
Statements
Weighted entropy and optimal portfolios for risk-averse Kelly investments (English)
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26 January 2018
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weight function
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return function
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predictable strategy
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expected weighted interest rate
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supermartingale
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martingale
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log-optimal investment portfolio
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