IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES
2010 ◽
Vol 13
(01)
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pp. 93-112
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Keyword(s):
In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the optimal portfolio in terms of drift, short term risk-free rate and correlations for a set of generic multi-dimensional diffusion processes satisfying some simple conditions. Properties of the optimal investment strategy are studied. The paper ends with a short discussion of the implications of these ideas for financial markets.
2000 ◽
Vol 37
(4)
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pp. 936-946
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2000 ◽
Vol 37
(04)
◽
pp. 936-946
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2016 ◽
Vol 21
(6)
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pp. 1252-1276
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2016 ◽
Vol 2016
◽
pp. 1-17
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2012 ◽
Vol 13
(2)
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pp. 228-240
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Keyword(s):