Kelly Criterion: From a Simple Random Walk to Lévy Processes
type: Item
instance of: scholarly article
title: Kelly Criterion: From a Simple Random Walk to Lévy Processes
zbMATH Open document ID: 1469.60139
DOI: 10.1137/20M1330488
author: Austin Pollok
author: S. V. Lototsky
published in: SIAM Journal on Financial Mathematics
publication date: 2021-05-04T00:00:00Z
full work available at URL: https://arxiv.org/abs/2002.03448
Mathematics Subject Classification ID: 60G50
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 91A60
zbMATH DE Number: 7343460
zbMATH Keywords: logarithmic utility
zbMATH Keywords: processes with independent increments
zbMATH Keywords: weak convergence
MaRDI profile type: MaRDI publication profile
arXiv ID: 2002.03448
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OpenAlex ID: W3134818992
description: scientific article; zbMATH DE number 7343460