Portfolio choice and the Bayesian Kelly criterion
DOI10.2307/1428168zbMATH Open0867.90010OpenAlexW2105364396MaRDI QIDQ4332214FDOQ4332214
Authors: Sid Browne, Ward Whitt 
Publication date: 13 February 1997
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1428168
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logarithmic utilityinvestment policiesoptimal gamblingcontinuous-time analog involving Brownian motionfinancial cost of learning
Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10) Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40)
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- Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
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- BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)
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- MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS
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- Optimal trading strategy for an investor: the case of partial information
- INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS
- On the financial value of information
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- FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES
- Investment strategies in the long run with proportional transaction costs and a HARA utility function
- MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
- A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL
- High-risk and competitive investment models
- Kelly criterion: from a simple random walk to Lévy processes
- Time to wealth goals in capital accumulation
- Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time
- Log-optimal investment in the long run with proportional transaction costs when using shadow prices.
- Kelly investing with downside risk control in a regime-switching market
- The Kelly Criterion and the Stock Market
- Bayesian adaptive portfolio optimization
- The myopic property in decision models
- A stochastic-difference-equation model for hedge-fund returns
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