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

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

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)

Cites Work

• The Malliavin Calculus and Related Topics
• An Intertemporal Capital Asset Pricing Model
• Theory of games and economic behavior.
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Growth Versus Security in Dynamic Investment Analysis
• Stochastic differential portfolio games
• Title not available (Why is that?)
• Shock elasticities and impulse responses
• Investment policies for expanding businesses optimal in a long‐run sense
• Risk‐sensitive benchmarked asset management with expert forecasts
• The Kelly system maximizes median fortune

Cited In (4)

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

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)