KELLY TRADING AND MARKET EQUILIBRIUM

DOI10.1142/S0219024923500012OpenAlexW3016799268MaRDI QIDQ5889360FDOQ5889360

Authors Hans-Peter Bermin, Magnus Holm

Publication date 20 April 2023

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024923500012

zbMATH Keywords

portfolio theorymarket equilibriumKelly criterionfractional Kelly

Mathematics Subject Classification ID

Applications of game theory (91A80) Portfolio theory (91G10) Stochastic games, stochastic differential games (91A15)

Recommendations

• Analysis of Kelly-optimal portfolios
• Generalized framework for applying the Kelly criterion to stock markets
• Implication of the Kelly criterion for multi-dimensional processes
• Kelly criterion: from a simple random walk to Lévy processes
• Growth versus security tradeoffs in dynamic investment analysis

Cites work

• scientific article; zbMATH DE number 3179081 (Why is no real title available?)
• An Intertemporal Capital Asset Pricing Model
• Growth Versus Security in Dynamic Investment Analysis
• Investment policies for expanding businesses optimal in a long‐run sense
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Risk‐sensitive benchmarked asset management with expert forecasts
• Shock elasticities and impulse responses
• Stochastic differential portfolio games
• The Kelly system maximizes median fortune
• The Malliavin Calculus and Related Topics
• Theory of games and economic behavior.

Cited in

(4)

• CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH
• Analysis of Kelly-optimal portfolios
• The geometry of risk adjustments
• The Kelly Criterion and the Stock Market

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