The Kelly Criterion and the Stock Market

DOI10.2307/2324484zbMATH Open0768.90105OpenAlexW2312444015MaRDI QIDQ5286366FDOQ5286366

Edward O. Thorp, Louis M. Rotando

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

zbMATH Keywords

stock marketKelly criterionbinomial gambling gamescontinuous gambling gamesfavorable gambling gamesoptimal resource apportionment

Mathematics Subject Classification ID

Probabilistic games; gambling (91A60)

Cited In (14)

• 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
• 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
• 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

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