Kelly trading and expected utility

DOI10.1007/S10436-026-00487-YMaRDI QIDQ7305194zbMATH OpenFDO

Authors Hans-Peter Bermin

Publication date 29 July 2026

Published in Annals of Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10436-026-00487-Y

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites work

• A complete explicit solution to the log-optimal portfolio problem.
• An Intertemporal Capital Asset Pricing Model
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• KELLY TRADING AND MARKET EQUILIBRIUM
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimal investment under partial information
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• The geometry of risk adjustments
• Theory of games and economic behavior.

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