The Kelly Criterion and the Stock Market
From MaRDI portal
Publication:5286366
DOI10.2307/2324484zbMATH Open0768.90105OpenAlexW2312444015MaRDI QIDQ5286366FDOQ5286366
Authors: Louis M. Rotando, Edward O. Thorp 
Publication date: 29 June 1993
Published in: The American Mathematical Monthly (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2324484
Recommendations
- Generalized framework for applying the Kelly criterion to stock markets
- Using the Kelly criterion for investing
- Portfolio choice and the Bayesian Kelly criterion
- KELLY TRADING AND MARKET EQUILIBRIUM
- The Kelly criterion for spread bets
- Kelly criterion revisited: Optimal bets
- Analysis of Kelly-optimal portfolios
- Kelly investing with downside risk control in a regime-switching market
stock marketKelly criterionbinomial gambling gamescontinuous gambling gamesfavorable gambling gamesoptimal resource apportionment
Cited In (18)
- Capital growth with security
- Gambling Under Unknown Probabilities as Proxy for Real World Decisions Under Uncertainty
- Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
- Shrinkage estimation of Kelly portfolios
- Further aspects of gambling with the Kelly criterion
- Kelly gambling with the stock market and banks
- Cooperation evolution in random multiplicative environments
- Log-optimal investment in the long run with proportional transaction costs when using shadow prices
- Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion
- Using Brouwer's continuity principle to pick stocks
- Implication of the Kelly criterion for multi-dimensional processes
- On asymptotic log-optimal portfolio optimization
- A Dynamic Kelly Criterion for Games with a Maximum Payout
- Investment strategies in the long run with proportional transaction costs and a HARA utility function
- The Kelly criterion for spread bets
- Online portfolio selection
- GENERALIZED FRAMEWORK FOR APPLYING THE KELLY CRITERION TO STOCK MARKETS
- Some aspects of gambling with the Kelly criterion
This page was built for publication: The Kelly Criterion and the Stock Market
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5286366)
