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
- An Intertemporal Capital Asset Pricing Model
- Growth Versus Security in Dynamic Investment Analysis
- scientific article; zbMATH DE number 3179081 (Why is no real title available?)
- 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
(7)- Analysis of Kelly-optimal portfolios
- CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH
- The Kelly Criterion and the Stock Market
- The geometry of risk adjustments
- When Harry met Kelly: an overlooked result in the classical theory of optimal capital growth
- Title not available (Why is no real title available?)
- Title not available (Why is no real title available?)
This page was built for publication: KELLY TRADING AND MARKET EQUILIBRIUM
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5889360)
