Implication of the Kelly criterion for multi-dimensional processes (Q3560082)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5709676
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Implication of the Kelly criterion for multi-dimensional processes |
scientific article; zbMATH DE number 5709676 |
Statements
IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES (English)
0 references
19 May 2010
0 references
utility function
0 references
Kelly criterion
0 references
optimal investment strategy
0 references
self-financing
0 references
complete market
0 references
risk-neutral measure
0 references
Brownian motion
0 references
Ornstein-Uhlenbeck
0 references
diffusion processes
0 references
value-at-risk
0 references
0.8751728534698486
0 references
0.8186880350112915
0 references
0.8156298995018005
0 references
0.8120092749595642
0 references
0.8095389008522034
0 references
