Shrinkage estimation of Kelly portfolios
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Publication:5234293
DOI10.1080/14697688.2018.1483583zbMath1420.91413OpenAlexW2883365740WikidataQ129482390 ScholiaQ129482390MaRDI QIDQ5234293
Thomas Mathew, Philip L. H. Yu, Yongli Han
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2018.1483583
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Cites Work
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- Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
- Capital growth with security
- Partial-Kelly Strategies and Expected Utility: Small-Edge Asymptotics
- Optimal capital growth with convex shortfall penalties
- The Kelly Criterion and the Stock Market