Shrinkage estimation of Kelly portfolios
Year of publication: |
2019
|
---|---|
Authors: | Han, Yongli ; Yu, Philip L. H. ; Mathew, Thomas |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 2, p. 277-287
|
Subject: | Expected long-term growth | Fractional Kelly | Kelly portfolio | Shrinkage estimation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Großbritannien | United Kingdom |
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