Portfolio choice and the Bayesian Kelly criterion

DOI10.2307/1428168MaRDI QIDQ4332214zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

logarithmic utilityinvestment policiesoptimal gamblingcontinuous-time analog involving Brownian motionfinancial cost of learning

Mathematics Subject Classification ID

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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Cited in

(29)

• Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
• Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
• Maximizing the probability of a perfect hedge
• Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
• Analysis of Kelly-optimal portfolios
• A renewal theory approach to two-state switching problems with infinite values
• BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Simulated annealing algorithm for optimal capital growth
• MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS
• Implication of the Kelly criterion for multi-dimensional processes
• Optimal trading strategy for an investor: the case of partial information
• Generalized framework for applying the Kelly criterion to stock markets
• INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS
• Bayesian inference of the multi-period optimal portfolio for an exponential utility
• On the financial value of information
• 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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