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I would like to ask if there exist any mathematical proof or model which addresses how the Kelly criterion can be applied to find portfolio weights when the stocks are correlated.

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Luenberger's book has a discussion on growth-optimal (i.e. Kelly) portfolios, also for the multivariate case with correlated assets.

@BOOK{Luenberger1998,
  title        = {Investment Science},
  publisher    = {Oxford University Press},
  year         = 1998,
  author       = {David G. Luenberger}
}
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  • $\begingroup$ That books gets very mixed reviews on Amazon and is not cheap. Do you have it and, if so, do you recommend it. I won't blame you if I get it and end up not liking it :). Thanks. $\endgroup$ – mark leeds May 23 at 15:14

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