New answers tagged kelly-criterion
Maybe you could find pretty interesting the following papers: Laureti, P., Medo, M., and Zhang, Y.-C. (2010). Analysis of Kelly-optimal portfolios. Quantitative Finance, 10(7): 689–697. and Nekrasov, Vasily, Kelly Criterion for Multivariate Portfolios: A Model-Free Approach (September 30, 2014). The last is available at SSRN. Particularly, ...
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