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Fund Separation and Fractional Kelly Strategies

In: RISK-SENSITIVE INVESTMENT MANAGEMENT

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  • Mark H. A. Davis
  • Sébastien Lleo

Abstract

In the diffusions setting introduced in Part I, investment management models have a significant benefit: they generate an investment strategy in closed form. This closed form strategy can be transformed, via a fund separation theorem or a fractional Kelly strategy, into a practical recipe for constructing investable portfolios…

Suggested Citation

  • Mark H. A. Davis & Sébastien Lleo, 2014. "Fund Separation and Fractional Kelly Strategies," World Scientific Book Chapters, in: RISK-SENSITIVE INVESTMENT MANAGEMENT, chapter 9, pages 207-226, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814578059_0009
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    Cited by:

    1. Ellwood, Sheila & Greenwood, Margaret, 2016. "Accounting for heritage assets: Does measuring economic value ‘kill the cat’?," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 38(C), pages 1-13.

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