Capital growth with security
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Publication:951507
DOI10.1016/S0165-1889(03)00056-3zbMATH Open1179.91235MaRDI QIDQ951507FDOQ951507
Authors: Rafael Sanegre, Yonggan Zhao, William T. Ziemba, Leonard C. MacLean 
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Recommendations
Management decision making, including multiple objectives (90B50) Portfolio theory (91G10) Stochastic programming (90C15)
Cites Work
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- On the Extensive Number of Plays to Achieve Superior Performance with the Geometric Mean Strategy
- The Kelly Criterion and the Stock Market
Cited In (21)
- Portfolio selection subject to growth objectives
- Optimal betting under parameter uncertainty: improving the Kelly criterion
- Wealth goals investing
- Growth Versus Security in Dynamic Investment Analysis
- Shrinkage estimation of Kelly portfolios
- Partial-Kelly strategies and expected utility: small-edge asymptotics
- Using the Kelly criterion for investing
- Dynamic optimal capital growth of diversified investment
- Scoring Probability Forecasts by a User’s Bets Against a Market Consensus
- Generalized framework for applying the Kelly criterion to stock markets
- Fractional growth portfolio investment
- MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
- Far from the madding crowd: collective wisdom in prediction markets
- Weighted entropy and optimal portfolios for risk-averse Kelly investments
- Von Neumann–Gale model, market frictions and capital growth
- Time to wealth goals in capital accumulation
- Growth-security models and stochastic dominance
- A Probability Scoring Rule for Simultaneous Events
- Risk-sensitive benchmarked asset management
- Kelly investing with downside risk control in a regime-switching market
- Optimal capital growth with convex shortfall penalties
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