Portfolio choice and the Bayesian Kelly criterion
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Publication:4332214
DOI10.2307/1428168zbMath0867.90010OpenAlexW2105364396MaRDI QIDQ4332214
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
logarithmic utilityinvestment policiesoptimal gamblingcontinuous-time analog involving Brownian motionfinancial cost of learning
Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Portfolio theory (91G10)
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