The growth of relative wealth and the Kelly criterion
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DOI: 10.1007/s10818-017-9253-z
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- Rabah Amir & Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2022.
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- Rabah Amir & Sergei Belkov & Igor Evstigneev & Thorsten Hens, 2022. "An evolutionary finance model with short selling and endogenous asset supply," Post-Print hal-02617447, HAL.
- Chung-Han Hsieh, 2021. "On Asymptotic Log-Optimal Buy-and-Hold Strategy," Papers 2103.04898, arXiv.org.
- Evstigneev, Igor & Hens, Thorsten & Potapova, Valeriya & Schenk-Hoppé, Klaus R., 2020.
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- Igor V. Evstigneev & Thorsten Hens & Valeriya Potapova & Klaus Reiner Schenk-Hoppé, 2020. "Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets," Swiss Finance Institute Research Paper Series 20-19, Swiss Finance Institute.
- Hsieh, Chung-Han, 2024. "On solving robust log-optimal portfolio: A supporting hyperplane approximation approach," European Journal of Operational Research, Elsevier, vol. 313(3), pages 1129-1139.
- Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2020. "An evolutionary finance model with a risk-free asset," Annals of Finance, Springer, vol. 16(4), pages 593-607, December.
- Chung-Han Hsieh, 2022. "On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach," Papers 2202.03858, arXiv.org.
- Mu-En Wu & Jia-Hao Syu & Chien-Ming Chen, 2022. "Kelly-Based Options Trading Strategies on Settlement Date via Supervised Learning Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1627-1644, April.
- I. V. Evstigneev & T. Hens & M. J. Vanaei, 2023. "Evolutionary finance: a model with endogenous asset payoffs," Journal of Bioeconomics, Springer, vol. 25(2), pages 117-143, August.
- Chung-Han Hsieh, 2020. "Necessary and Sufficient Conditions for Frequency-Based Kelly Optimal Portfolio," Papers 2004.12099, arXiv.org.
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More about this item
Keywords
Kelly criterion; Portfolio optimization; Adaptive Markets Hypothesis; Evolutionary game theory;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D03 - Microeconomics - - General - - - Behavioral Microeconomics: Underlying Principles
- D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
Statistics
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