Generalized Framework For Applying The Kelly Criterion To Stock Markets
Author
Abstract
Suggested Citation
DOI: 10.1142/S0219024918500334
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- E. O. Thorp, 2011. "Optimal Gambling Systems For Favorable Games," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 6, pages 61-80, World Scientific Publishing Co. Pte. Ltd..
- Henry Allen Latane, 1959. "Criteria for Choice Among Risky Ventures," Journal of Political Economy, University of Chicago Press, vol. 67(2), pages 144-144.
- 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.
- Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
- Paolo Laureti & Matus Medo & Yi-Cheng Zhang, 2010.
"Analysis of Kelly-optimal portfolios,"
Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 689-697.
- Paolo Laureti & Matus Medo & Yi-Cheng Zhang, 2007. "Analysis of Kelly-optimal portfolios," Papers 0712.2771, arXiv.org, revised Apr 2009.
- Sanford J. Grossman & Zhongquan Zhou, 1993. "Optimal Investment Strategies For Controlling Drawdowns," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 241-276, July.
- Levy, Haim, 1973. "Stochastic Dominance Among Log-Normal Prospects," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(3), pages 601-614, October.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Vuko Vukcevic & Robert Keser, 2024. "Sizing the bets in a focused portfolio," Papers 2402.15588, arXiv.org.
- Steven Y. K. Wong & Jennifer S. K. Chan & Lamiae Azizi, 2024. "Quantifying neural network uncertainty under volatility clustering," Papers 2402.14476, arXiv.org, revised Sep 2024.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Yong, Luo & Bo, Zhu & Yong, Tang, 2013. "Dynamic optimal capital growth with risk constraints," Economic Modelling, Elsevier, vol. 30(C), pages 586-594.
- Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
- Sagara Dewasurendra & Pedro Judice & Qiji Zhu, 2019. "The Optimum Leverage Level of the Banking Sector," Risks, MDPI, vol. 7(2), pages 1-30, May.
- 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).
- Paolo Laureti & Matus Medo & Yi-Cheng Zhang, 2010.
"Analysis of Kelly-optimal portfolios,"
Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 689-697.
- Paolo Laureti & Matus Medo & Yi-Cheng Zhang, 2007. "Analysis of Kelly-optimal portfolios," Papers 0712.2771, arXiv.org, revised Apr 2009.
- Kaplanski, Guy & Kroll, Yoram, 2002. "VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey," MPRA Paper 80070, University Library of Munich, Germany.
- 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.
- 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.
- Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
- Adam Borovička, 2022. "Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 595-616, June.
- Robert C. Merton, 2006. "Paul Samuelson and Financial Economics," The American Economist, Sage Publications, vol. 50(2), pages 9-31, October.
- Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar, 2013. "Expected value multiobjective portfolio rebalancing model with fuzzy parameters," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 190-203.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018.
"Asset allocation strategies based on penalized quantile regression,"
Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based on Penalized Quantile Regression," Papers 1507.00250, arXiv.org.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers 0199, Dipartimento di Scienze Economiche "Marco Fanno".
- Wojtek Michalowski & Włodzimierz Ogryczak, 2001.
"Extending the MAD portfolio optimization model to incorporate downside risk aversion,"
Naval Research Logistics (NRL), John Wiley & Sons, vol. 48(3), pages 185-200, April.
- W. Michalowski & W. Ogryczak, 1998. "Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion," Working Papers ir98041, International Institute for Applied Systems Analysis.
- Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1422-1460, October.
- Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999.
"From stochastic dominance to mean-risk models: Semideviations as risk measures,"
European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July.
- W. Ogryczak & A. Ruszczynski, 1997. "From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures," Working Papers ir97027, International Institute for Applied Systems Analysis.
- Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
- Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions," Papers 1712.04418, arXiv.org, revised Feb 2018.
- Luisa Corrado & Marcus Miller & Lei Zhang, 2007.
"Bulls, bears and excess volatility: can currency intervention help?,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 261-272.
- Corrado, L. & Miller, M. & Zhang, L., 2007. "Bulls, Bears and Excess Volatility: can currency intervention help?," Cambridge Working Papers in Economics 0708, Faculty of Economics, University of Cambridge.
- Laura Alfaro & Nick Bloom & Paola Conconi & Harald Fadinger & Patrick Legros & Andrew F Newman & Raffaella Sadun & John Van Reenen, 2024.
"Come Together: Firm Boundaries and Delegation,"
Journal of the European Economic Association, European Economic Association, vol. 22(1), pages 34-72.
- Laura Alfaro & Nicholas Bloom & Paola Conconi & Harald Fadinger & Patrick Legros & Andrew F. Newman & Raffaella Sadun & John Van Reenen, 2017. "Come Together: Firm Boundaries and Delegation," Harvard Business School Working Papers 18-051, Harvard Business School, revised May 2019.
- Newman, Andrew & Alfaro, Laura & Bloom, Nicholas & Conconi, Paola & Fadinger, Harald & Sadun, Raffaella & Van Reenen, John, 2018. "Come Together: Firm Boundaries and Delegation," CEPR Discussion Papers 12923, C.E.P.R. Discussion Papers.
- Laura Alfaro & Nick Bloom & Paola Conconi & Harald Fadinger & Patrick Legros & Andrew F. Newman & Raffaella Sadun & John Van Reenen, 2018. "Come together: firm boundaries and delegation," CEP Discussion Papers dp1547, Centre for Economic Performance, LSE.
- Laura Alfaro & Nick Bloom & Paola Conconi & Harald Fadinger & Patrick Legros & Andrew F. Newman & Raffaella Sadun & John Van Reenen, 2018. "Come Together: Firm Boundaries and Delegation," CRC TR 224 Discussion Paper Series crctr224_2018_017, University of Bonn and University of Mannheim, Germany.
- Laura Alfaro & Nicholas Bloom & Paola Conconi & Harald Fadinger & Patrick Legros & Andrew Newman & Raffaella Sadun & John Van Reenen, 2018. "Come Together: Firm Boundaries and Delegation," NBER Working Papers 24603, National Bureau of Economic Research, Inc.
- Alfaro, Laura & Bloom, Nick & Conconi, Paola & Fadinger, Harald & Legros, Patrick & Newman, Andrew F. & Sadun, Raffaella & Van Reenen, John, 2018. "Come together: firm boundaries and delegation," LSE Research Online Documents on Economics 88698, London School of Economics and Political Science, LSE Library.
- Laura Alfaro & Nick Bloom & Paola Conconi & Harald Fadinger & Patrick Legros & John Newman & Raffaella Sadun & John Van Reenen, 2018. "Come Together: Firm Boundaries and Delegation," Working Papers ECARES 2018-11, ULB -- Universite Libre de Bruxelles.
- Laura Alfaro & Nick Bloom & Paola Conconi & Harald Fadinger & Patrick Legros & Andrew F. Newman & Raffaella Sadun & John Van Reenen, 2018. "Come Together: Firm Boundaries and Delegation," Boston University - Department of Economics - Working Papers Series WP2018-13, Boston University - Department of Economics.
- Laura Alfaro & Nick Bloom & Paola Conconi & Harald Fadinger & Patrick Legros & Andrew F. Newman & Raffaella Sadun & John Van Reenen & Nicholas Bloom, 2018. "Come Together: Firm Boundaries and Delegation," CESifo Working Paper Series 7054, CESifo.
- Alfaro, Laura & Bloom, Nick & Conconi, Paola & Fadinger, Harald & Legros, Patrick & Newman, Andrew F. & Sadun, Raffaella & Van Reenen, John, 2024. "Come together: firm boundaries and delegation," LSE Research Online Documents on Economics 119709, London School of Economics and Political Science, LSE Library.
- Nick Bloom & Laura Alfaro & Paola Conconi & Harald Fadinger & Patrick Legros & Andrew A.F. Newman & Raffaella Sadun & John Van Reenen, 2023. "Come Together: Firm Boundaries and Delegation," ULB Institutional Repository 2013/355708, ULB -- Universite Libre de Bruxelles.
More about this item
Keywords
Kelly criterion; multivariate portfolios; stock markets;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500334. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.