Simulated annealing algorithm for optimal capital growth
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References listed on IDEAS
- E. W. Piotrowski & M. Schroeder, 2007. "Kelly criterion revisited: optimal bets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 57(2), pages 201-203, May.
- Henry Allen Latane, 1959. "Criteria for Choice Among Risky Ventures," Journal of Political Economy, University of Chicago Press, vol. 67, pages 144-144.
- Crama, Y. & Schyns, M., 2003. "Simulated annealing for complex portfolio selection problems," European Journal of Operational Research, Elsevier, vol. 150(3), pages 546-571, November.
- Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29.
- Edward W. Piotrowski & Malgorzata Schroeder, "undated". "Kelly Criterion Revisited: Optimal Bets," Departmental Working Papers 24, University of Bialtystok, Department of Theoretical Physics.
More about this item
KeywordsCapital growth; Asset allocation; Portfolio optimization; Simulate annealing;
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