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Capital growth with security

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  • MacLean, Leonard C.
  • Sanegre, Rafael
  • Zhao, Yonggan
  • Ziemba, William T.

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  • MacLean, Leonard C. & Sanegre, Rafael & Zhao, Yonggan & Ziemba, William T., 2004. "Capital growth with security," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 937-954, February.
    • Handle: RePEc:eee:dyncon:v:28:y:2004:i:5:p:937-954
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    References listed on IDEAS

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    1. Georg Pflug, 1999. "Stochastic programs and statistical data," Annals of Operations Research, Springer, vol. 85(0), pages 59-78, January.
    2. Cox, John C. & Leland, Hayne E., 2000. "On dynamic investment strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1859-1880, October.
    3. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
    4. Mark Rubinstein., 1991. "Continuously Rebalanced Investment Strategies," Research Program in Finance Working Papers RPF-205, University of California at Berkeley.
    5. L. C. MacLean & W. T. Ziemba & G. Blazenko, 1992. "Growth Versus Security in Dynamic Investment Analysis," Management Science, INFORMS, vol. 38(11), pages 1562-1585, November.
    6. Donald C. Aucamp, 1993. "On the Extensive Number of Plays to Achieve Superior Performance with the Geometric Mean Strategy," Management Science, INFORMS, vol. 39(9), pages 1163-1172, September.
    7. Sanford J. Grossman & Zhongquan Zhou, 1993. "Optimal Investment Strategies For Controlling Drawdowns," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 241-276, July.
    8. Keim,Donald B. & Ziemba,William T. (ed.), 2000. "Security Market Imperfections in Worldwide Equity Markets," Cambridge Books, Cambridge University Press, number 9780521571388, Enero-Abr.
    9. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    10. Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29, January.
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    Citations

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    Cited by:

    1. Tim Byrnes & Tristan Barnett, 2018. "Generalized Framework For Applying The Kelly Criterion To Stock Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-13, August.
    2. Leonard C. MacLean & Yonggan Zhao & William T. Ziemba, 2016. "Optimal capital growth with convex shortfall penalties," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 101-117, January.
    3. D. J. Johnstone, 2021. "Accounting information, disclosure, and expected utility: Do investors really abhor uncertainty?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(1-2), pages 3-35, January.
    4. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
    5. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
    6. Zhao, Shengli, 2024. "Objective acceptability indexes," International Review of Financial Analysis, Elsevier, vol. 95(PC).
    7. David J. Johnstone, 2007. "The Parimutuel Kelly Probability Scoring Rule," Decision Analysis, INFORMS, vol. 4(2), pages 66-75, June.
    8. Grant, Andrew & Johnstone, David, 2010. "Finding profitable forecast combinations using probability scoring rules," International Journal of Forecasting, Elsevier, vol. 26(3), pages 498-510, July.
    9. 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).
    10. Ziemba, William, 2016. "A response to Professor Paul A. Samuelson's objections to Kelly capital growth investing," LSE Research Online Documents on Economics 119002, London School of Economics and Political Science, LSE Library.
    11. Tim Leung & Yoshihiro Shirai, 2015. "Optimal derivative liquidation timing under path-dependent risk penalties," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-32.
    12. D.J. Johnstone, 2015. "Information and the Cost of Capital in a Mean-Variance Efficient Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(1-2), pages 79-100, January.
    13. Rose D. Baker & Ian G. McHale, 2013. "Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion," Decision Analysis, INFORMS, vol. 10(3), pages 189-199, September.
    14. Mark Davis & SEBastien Lleo, 2008. "Risk-sensitive benchmarked asset management," Quantitative Finance, Taylor & Francis Journals, vol. 8(4), pages 415-426.
    15. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics, Market Frictions, and Capital Growth," Economics Discussion Paper Series 1816, Economics, The University of Manchester.
    16. G. Bottazzi & D. Giachini, 2019. "Far from the madding crowd: collective wisdom in prediction markets," Quantitative Finance, Taylor & Francis Journals, vol. 19(9), pages 1461-1471, September.
    17. David J Johnstone, 2023. "Capital budgeting and Kelly betting," Australian Journal of Management, Australian School of Business, vol. 48(3), pages 625-651, August.
    18. MacLean, Leonard C. & Zhao, Yonggan & Ziemba, William T., 2014. "Optimal capital growth with convex shortfall penalties," LSE Research Online Documents on Economics 59292, London School of Economics and Political Science, LSE Library.
    19. Anthony E. Brockwell, 2021. "Fractional Growth Portfolio Investment," Papers 2109.10814, arXiv.org.
    20. Andrew Grant & David Johnstone & Oh Kang Kwon, 2019. "A Probability Scoring Rule for Simultaneous Events," Decision Analysis, INFORMS, vol. 16(4), pages 301-313, December.
    21. Yong, Luo & Bo, Zhu & Yong, Tang, 2013. "Dynamic optimal capital growth with risk constraints," Economic Modelling, Elsevier, vol. 30(C), pages 586-594.
    22. Joseph B. Kadane, 2011. "Partial-Kelly Strategies and Expected Utility: Small-Edge Asymptotics," Decision Analysis, INFORMS, vol. 8(1), pages 4-9, March.
    23. MacLean, Leonard C. & Zhao, Yonggan & Ziemba, William T., 2016. "Optimal capital growth with convex shortfall penalties," LSE Research Online Documents on Economics 65486, London School of Economics and Political Science, LSE Library.
    24. Yousra Tourki & Jeffrey Keisler & Igor Linkov, 2013. "Scenario analysis: a review of methods and applications for engineering and environmental systems," Environment Systems and Decisions, Springer, vol. 33(1), pages 3-20, March.
    25. David Johnstone & Stewart Jones & Oliver Jones & Steve Tulig, 2021. "Scoring Probability Forecasts by a User’s Bets Against a Market Consensus," Decision Analysis, INFORMS, vol. 18(3), pages 169-184, September.

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