Portfolio choice and the Bayesian Kelly criterion
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Publication:4332214
DOI10.2307/1428168zbMath0867.90010MaRDI 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 utility; investment policies; optimal gambling; continuous-time analog involving Brownian motion; financial cost of learning
62C10: Bayesian problems; characterization of Bayes procedures
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
91G10: Portfolio theory
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