Necessary and Sufficient Conditions for Frequency-Based Kelly Optimal Portfolio
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Leonard Maclean & Edward Thorp & William Ziemba, 2010. "Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 681-687.
- Daniel Kuhn & David Luenberger, 2010. "Analysis of the rebalancing frequency in log-optimal portfolio selection," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 221-234.
- Sujit R. Das & Dmitri Kaznachey & Mukul Goyal, 2014. "Computing optimal rebalance frequency for log-optimal portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1489-1502, January.
- Chung-Han Hsieh & B. Ross Barmish & John A. Gubner, 2019. "On Positive Solutions of a Delay Equation Arising When Trading in Financial Markets," Papers 1901.02480, arXiv.org, revised Oct 2019.
- Chung-Han Hsieh & B. Ross Barmish & John A. Gubner, 2018. "At What Frequency Should the Kelly Bettor Bet?," Papers 1801.06737, arXiv.org, revised Aug 2018.
- Chung-Han Hsieh & John A. Gubner & B. Ross Barmish, 2018. "Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework," Papers 1807.05265, arXiv.org, revised Aug 2018.
- Sujit R. Das & Mukul Goyal, 2015. "Computing optimal rebalance frequency for log-optimal portfolios in linear time," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1191-1204, July.
- Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018. "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, vol. 20(1), pages 49-67, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chung-Han Hsieh, 2022. "On Robustness of Double Linear Trading with Transaction Costs," Papers 2209.12383, arXiv.org.
- Chung-Han Hsieh, 2022. "On Robust Optimal Linear Feedback Stock Trading," Papers 2202.02300, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Chung-Han Hsieh, 2021. "On Asymptotic Log-Optimal Buy-and-Hold Strategy," Papers 2103.04898, arXiv.org.
- Chung-Han Hsieh & B. Ross Barmish & John A. Gubner, 2019. "The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold," Papers 1907.08771, arXiv.org.
- Chung-Han Hsieh & John A. Gubner & B. Ross Barmish, 2018. "Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework," Papers 1807.05265, arXiv.org, revised Aug 2018.
- Chung-Han Hsieh, 2020. "On Feedback Control in Kelly Betting: An Approximation Approach," Papers 2004.14048, arXiv.org, revised May 2020.
- Chung-Han Hsieh, 2022. "On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach," Papers 2202.03858, arXiv.org.
- Chung-Han Hsieh & B. Ross Barmish & John A. Gubner, 2019. "On Positive Solutions of a Delay Equation Arising When Trading in Financial Markets," Papers 1901.02480, arXiv.org, revised Oct 2019.
- 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 & B. Ross Barmish & John A. Gubner, 2018. "At What Frequency Should the Kelly Bettor Bet?," Papers 1801.06737, arXiv.org, revised Aug 2018.
- Chung-Han Hsieh & B. Ross Barmish & John A. Gubner, 2017. "Kelly Betting Can Be Too Conservative," Papers 1710.01786, arXiv.org.
- Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Barge-Gil, Andrés & García-Hiernaux, Alfredo, 2019. "Staking plans in sports betting under unknown true probabilities of the event," MPRA Paper 92196, University Library of Munich, Germany.
- Igor V. EVSTIGNEEVY & Thorsten HENS & Klaus Reiner SCHENK-HOPPE, 2010. "An evolutionary financial market model with a risk-free asset," Swiss Finance Institute Research Paper Series 10-36, Swiss Finance Institute.
- Haluk Yener & Fuat Can Beylunioglu, 2017. "Outperforming A Stochastic Benchmark Under Borrowing And Rectangular Constraints," Working Papers 1701, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
- Thomas J. Brennan & Andrew W. Lo & Ruixun Zhang, 2018. "Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-39, September.
- Rabah Amir & Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2022.
"An evolutionary finance model with short selling and endogenous asset supply,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 655-677, April.
- 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.
- D. J. Johnstone, 2021. "Accounting information, disclosure, and expected utility: Do investors really abhor uncertainty?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(1-2), pages 3-35, January.
- MacLean, Leonard C. & Zhao, Yonggan & Ziemba, William T., 2016. "Optimal capital growth with convex shortfall penalties," LSE Research Online Documents on Economics 65486, London School of Economics and Political Science, LSE Library.
- Evstigneev, Igor & Hens, Thorsten & Potapova, Valeriya & Schenk-Hoppé, Klaus R., 2020.
"Behavioral equilibrium and evolutionary dynamics in asset markets,"
Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 121-135.
- 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.
- Haluk Yener & Thanasis Stengos & M. Ege Yazgan, 2017.
"Analysis of the seeds of the debt crisis in Europe,"
The European Journal of Finance, Taylor & Francis Journals, vol. 23(15), pages 1589-1610, December.
- Haluk Yener & Thanasis Stengos & M. Ege Yazgan, 2014. "Analysis Of The Seeds Of The Debt Crisis In Europe," Working Papers 1406, University of Guelph, Department of Economics and Finance.
- Haluk Yener & Thanasis Stengos & M. Ege Yazgan, 2014. "Analysis of The Seeds of Debt Crisis in Europe," Working Paper series 24_14, Rimini Centre for Economic Analysis.
- 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.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2004.12099. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.