Partial-Kelly strategies and expected utility: small-edge asymptotics

DOI10.1287/DECA.1100.0197zbMATH Open1398.91261OpenAlexW2022107132MaRDI QIDQ4691925FDOQ4691925

Authors: Joseph B. Kadane 

Publication date: 24 October 2018

Published in: Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/deca.1100.0197

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zbMATH Keywords

utilityconstant relative risk aversionKelly strategiespartial-Kelly

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Elementary proof that mean-variance implies quadratic utility
• Title not available (Why is that?)
• Risk Aversion in the Small and in the Large
• Growth Versus Security in Dynamic Investment Analysis
• The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
• Growth versus security tradeoffs in dynamic investment analysis
• Growth-Security Investment Strategy for Long and Short Runs
• Capital growth with security

Cited In (5)

• Shrinkage estimation of Kelly portfolios
• Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion
• Scoring Probability Forecasts by a User’s Bets Against a Market Consensus
• In-game betting and the Kelly criterion
• A Probability Scoring Rule for Simultaneous Events

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