Kelly Criterion: From a Simple Random Walk to Lévy Processes
نویسندگان
چکیده
The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in sequence simple Bernoulli bets with an edge, that is, when expected return on each bet is positive. objective this work consider more general models returns and continuous time, or high-frequency, limits those models. results include explicit expression for optimal several time compounding.
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ژورنال
عنوان ژورنال: Siam Journal on Financial Mathematics
سال: 2021
ISSN: ['1945-497X']
DOI: https://doi.org/10.1137/20m1330488