Expectation and optimal f: expected growth with and without reinvestment for discretely-distributed outcomes of finite length as a basis in evolutionary decision-making

DOI10.17654/TS056010069zbMATH Open1490.91194WikidataQ127664520 ScholiaQ127664520MaRDI QIDQ5033482FDOQ5033482

Authors: Ralph Vince 

Publication date: 23 February 2022

Published in: Far East Journal of Theoretical Statistics (Search for Journal in Brave)

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zbMATH Keywords

risk managementmathematical expectationexpectationdrawdowngrowth-optimal portfolioKelly criterionfinite investment horizon

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Cites Work

• The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling

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