Growth Versus Security in Dynamic Investment Analysis

DOI10.1287/MNSC.38.11.1562zbMATH Open0765.90014OpenAlexW2100453390MaRDI QIDQ4032486FDOQ4032486

Authors: Leonard C. MacLean, William T. Ziemba, George Blazenko 

Publication date: 1 April 1993

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.38.11.1562

Recommendations

• Growth versus security tradeoffs in dynamic investment analysis
• scientific article; zbMATH DE number 3930668
• Alternative growth versus security in continuous dynamic trading
• Growth-security profiles in capital accumulation under risk
• Growth-Security Investment Strategy for Long and Short Runs
• Capital growth with security
• Dynamic optimal capital growth of diversified investment
• Value versus growth: stochastic dominance criteria
• Growth-security models and stochastic dominance

zbMATH Keywords

horseracingrisky investmentsoptions tradingfractional Kelly strategieslotto gamesmaximum securityoptimal dynamic choice in discrete time

Mathematics Subject Classification ID

Economic growth models (91B62)

Cited In (41)

• Capital growth with security
• Optimal betting under parameter uncertainty: improving the Kelly criterion
• Expectation and optimal \(f\): expected growth with and without reinvestment for discretely-distributed outcomes of finite length as a basis in evolutionary decision-making
• Title not available (Why is that?)
• A counterexample to the \textit{Fortune's formula} investing method
• Volatility-induced financial growth
• Growth-security profiles in capital accumulation under risk
• Improving prediction market forecasts by detecting and correcting possible over-reaction to price movements
• Partial-Kelly strategies and expected utility: small-edge asymptotics
• Analysis of Kelly-optimal portfolios
• The Kelly growth optimal strategy with a stop-loss rule
• Kelly gambling with the stock market and banks
• Using the Kelly criterion for investing
• Empirical analysis on risk of security investment
• Kelly Betting on Horse Races with Uncertainty in Probability Estimates
• The geometry of risk adjustments
• Wealth and price distribution by diffusive approximation in a repeated prediction market
• Online portfolio selection: a survey
• A Dynamic Kelly Criterion for Games with a Maximum Payout
• Tail risk constraints and maximum entropy
• Alternative growth versus security in continuous dynamic trading
• Dynamic optimal capital growth of diversified investment
• Scoring Probability Forecasts by a User’s Bets Against a Market Consensus
• In-game betting and the Kelly criterion
• Mathematical analysis of investment systems
• Misunderstanding of the binomial distribution, market inefficiency, and learning behavior: evidence from an exotic sports betting market
• Growth-Security Investment Strategy for Long and Short Runs
• A stochastic programming model for funding single premium deferred annuities
• The development of efficient portfolios in Japan with particular emphasis on sales and earnings forecasting
• KELLY TRADING AND MARKET EQUILIBRIUM
• Optimal geometric mean returns of stocks and their options
• Fractional growth portfolio investment
• Far from the madding crowd: collective wisdom in prediction markets
• Weighted entropy and optimal portfolios for risk-averse Kelly investments
• Von Neumann–Gale model, market frictions and capital growth
• Time to wealth goals in capital accumulation
• Portfolio choice with endogenous utility: a large deviations approach.
• Economic Darwinism: Who has the best probabilities?
• A Probability Scoring Rule for Simultaneous Events
• Optimal capital growth with convex shortfall penalties
• Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999

This page was built for publication: Growth Versus Security in Dynamic Investment Analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4032486)