Crash-sensitive Kelly strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices

Jan-Christian Gerlach, Jerome Kreuser, Didier Sornette

Year of publication:	2020
Authors:	Gerlach, Jan-Christian ; Kreuser, Jerome ; Sornette, Didier
Publisher:	Geneva : Swiss Finance Institute
Subject:	financial bubbles \| efficient crashes \| positive feedback \| rational expectation \| Kelly criterion \| optimal investment \| Covid-19 crash \| Spekulationsblase \| Bubbles \| Finanzkrise \| Financial crisis \| Rationale Erwartung \| Rational expectations \| Coronavirus \| Finanzmarkt \| Financial market \| Börsenkurs \| Share price \| Portfolio-Management \| Portfolio selection \| Anlageverhalten \| Behavioural finance \| Theorie \| Theory

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