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

DOI10.1287/DECA.1100.0197MaRDI QIDQ4691925zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

utilityconstant relative risk aversionKelly strategiespartial-Kelly

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

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Cites work

• scientific article; zbMATH DE number 3205524 (Why is no real title available?)
• Capital growth with security
• Elementary proof that mean-variance implies quadratic utility
• Growth Versus Security in Dynamic Investment Analysis
• Growth versus security tradeoffs in dynamic investment analysis
• Growth-Security Investment Strategy for Long and Short Runs
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Risk Aversion in the Small and in the Large
• The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling

Cited in

(5)

• Optimal betting under parameter uncertainty: improving the Kelly criterion
• Shrinkage estimation of Kelly portfolios
• 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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