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Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long

In: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE

Citations

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Cited by:

  1. Zambrano, Eduardo, 2014. "Subtle price discrimination and surplus extraction under uncertainty," Journal of Mathematical Economics, Elsevier, vol. 52(C), pages 153-161.
  2. Joshua Lawson, 2022. "Expected Growth Criterion: An Axiomatization," Papers 2212.09617, arXiv.org.
  3. Andrew B. Abel & N. Gregory Mankiw & Lawrence H. Summers & Richard J. Zeckhauser, 1989. "Assessing Dynamic Efficiency: Theory and Evidence," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(1), pages 1-19.
  4. John Y. Campbell, 2016. "Restoring Rational Choice: The Challenge of Consumer Financial Regulation," American Economic Review, American Economic Association, vol. 106(5), pages 1-30, May.
  5. Robert C. Merton, 2006. "Paul Samuelson and Financial Economics," The American Economist, Sage Publications, vol. 50(2), pages 9-31, October.
  6. Dean P. Foster & Sergiu Hart, 2009. "An Operational Measure of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 785-814.
  7. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
  8. Constantinos Kardaras & Jan Obłój & Eckhard Platen, 2017. "The Numéraire Property And Long-Term Growth Optimality For Drawdown-Constrained Investments," Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 68-95, January.
  9. Leiss, Matthias & Nax, Heinrich H., 2018. "Option-implied objective measures of market risk," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 241-249.
  10. Andrei N. Soklakov, 2018. "Economics of disagreement -- financial intuition for the R\'enyi divergence," Papers 1811.08308, arXiv.org, revised Aug 2020.
  11. Pablo Castañeda & Heinz Rudolph, 2010. "Portfolio Choice, Minimum Return Guarantees, and Competition in DC Pension Systems," Working Papers 39, Superintendencia de Pensiones, revised Feb 2010.
  12. Robert H. Trent & Robert S. Kemp, 1984. "The Writings Of Henry A. Latané: A Compilation And Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 161-174, June.
  13. Sagara Dewasurendra & Pedro Judice & Qiji Zhu, 2019. "The Optimum Leverage Level of the Banking Sector," Risks, MDPI, vol. 7(2), pages 1-30, May.
  14. Alex Garivaltis, 2019. "A Note on Universal Bilinear Portfolios," Papers 1907.09704, arXiv.org, revised Oct 2022.
  15. Alex Garivaltis, 2021. "A Note on Universal Bilinear Portfolios," IJFS, MDPI, vol. 9(1), pages 1-17, February.
  16. Baldeaux Jan & Ignatieva Katja & Platen Eckhard, 2014. "A tractable model for indices approximating the growth optimal portfolio," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 1-21, February.
  17. Andrei N. Soklakov, 2015. "Why Quantitative Structuring?," Papers 1507.07219, arXiv.org, revised Sep 2020.
  18. Yong, Luo & Bo, Zhu & Yong, Tang, 2013. "Dynamic optimal capital growth with risk constraints," Economic Modelling, Elsevier, vol. 30(C), pages 586-594.
  19. Chen, Guodong & Lee, Minjoon & Nam, Tong-yob, 2020. "Forced retirement risk and portfolio choice," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 293-315.
  20. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
  21. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2016. "Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis," JRFM, MDPI, vol. 9(2), pages 1-18, June.
  22. Matej Uhr'in & Gustav v{S}ourek & Ondv{r}ej Hub'av{c}ek & Filip v{Z}elezn'y, 2021. "Optimal sports betting strategies in practice: an experimental review," Papers 2107.08827, arXiv.org.
  23. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
  24. Cecchetti, Stephen & Schoenholtz, Kermit L., 2019. "Improving U.S. Monetary Policy Communications," CEPR Discussion Papers 13915, C.E.P.R. Discussion Papers.
  25. Kardaras, Constantinos, 2010. "Numéraire-invariant preferences in financial modeling," LSE Research Online Documents on Economics 44993, London School of Economics and Political Science, LSE Library.
  26. Constantinos Kardaras, 2009. "Num\'{e}raire-invariant preferences in financial modeling," Papers 0903.3736, arXiv.org, revised Nov 2010.
  27. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
  28. Scholz, Peter, 2012. "Size matters! How position sizing determines risk and return of technical timing strategies," CPQF Working Paper Series 31, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
  29. Zeckhauser Richard, 2006. "Investing in the Unknown and Unknowable," Capitalism and Society, De Gruyter, vol. 1(2), pages 1-41, September.
  30. Filippo Massari, 2021. "Price probabilities: a class of Bayesian and non-Bayesian prediction rules," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 72(1), pages 133-166, July.
  31. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
  32. Chu Dani & Wu Yifan & Swartz Tim B., 2018. "Modified Kelly criteria," Journal of Quantitative Analysis in Sports, De Gruyter, vol. 14(1), pages 1-11, March.
  33. Hubáček, Ondřej & Šír, Gustav, 2023. "Beating the market with a bad predictive model," International Journal of Forecasting, Elsevier, vol. 39(2), pages 691-719.
  34. Alex Garivaltis, 2019. "Game-Theoretic Optimal Portfolios for Jump Diffusions," Games, MDPI, vol. 10(1), pages 1-9, February.
  35. Joseph B. Kadane, 2011. "Partial-Kelly Strategies and Expected Utility: Small-Edge Asymptotics," Decision Analysis, INFORMS, vol. 8(1), pages 4-9, March.
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