Partial-Kelly Strategies and Expected Utility: Small-Edge Asymptotics
From MaRDI portal
Publication:4691925
DOI10.1287/deca.1100.0197zbMath1398.91261OpenAlexW2022107132MaRDI QIDQ4691925
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
Related Items
A Probability Scoring Rule for Simultaneous Events ⋮ Shrinkage estimation of Kelly portfolios ⋮ Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion ⋮ In-game betting and the Kelly criterion ⋮ Scoring Probability Forecasts by a User’s Bets Against a Market Consensus
Cites Work
- Unnamed Item
- Elementary proof that mean-variance implies quadratic utility
- Capital growth with security
- Growth versus security tradeoffs in dynamic investment analysis
- Growth Versus Security in Dynamic Investment Analysis
- Growth-Security Investment Strategy for Long and Short Runs
- Risk Aversion in the Small and in the Large
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
- The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
This page was built for publication: Partial-Kelly Strategies and Expected Utility: Small-Edge Asymptotics
