Weighted entropy and optimal portfolios for risk-averse Kelly investments
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Publication:1692288
DOI10.1007/s00010-017-0515-6zbMath1442.91087arXiv1708.03813MaRDI QIDQ1692288
Publication date: 26 January 2018
Published in: Aequationes Mathematicae (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.03813
weight function; martingale; return function; supermartingale; expected weighted interest rate; log-optimal investment portfolio; predictable strategy