Applying the Kelly criterion to lawsuits
نویسندگان
چکیده
منابع مشابه
From Kelly Criterion to Investment-Consumption Problem
This paper is intended as a literature retrieval. In the first part we introduce Kelly criterion and show some of its basic properties. Then we define general HARA (Hyperbolic Absolute Risk Aversion) utility function and investment consumption problem. By stochastic optimal control we demonstrate solution to this problem for special class of HARA utility and show basic model with proportional t...
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ژورنال
عنوان ژورنال: Law, Probability and Risk
سال: 2010
ISSN: 1470-8396,1470-840X
DOI: 10.1093/lpr/mgq002