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Lifetime Portfolio Selection by Dynamic Stochastic Programming

In: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE

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  • Paul A. Samuelson

Abstract

The following sections are included:IntroductionBasic AssumptionsSolution of the ProblemBernoulli and Isoelastic CasesConclusionREFERENCES

Suggested Citation

  • Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters,in: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472 World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814293501_0031
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    More about this item

    Keywords

    Kelly Criterion; Dynamic Investment Analysis; Capital Growth Theory; Sports Betting; Hedge Fund Strategies; Speculative Investing; Fortune 's Formula;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism
    • P45 - Economic Systems - - Other Economic Systems - - - International Linkages
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling

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