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  • Search: subject:"Kelly Criterion"
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Year of publication
Subject
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Kelly criterion 25 Theorie 14 Theory 14 Portfolio-Management 13 Portfolio selection 12 Anlageverhalten 6 Behavioural finance 6 constant-rebalanced portfolios 4 kelly criterion 4 minimax 4 robust procedures 4 universal portfolios 4 CAPM 3 Financial investment 3 Kapitalanlage 3 Risiko 3 Risikoprämie 3 Risk 3 Risk premium 3 optimal betting 3 Bubbles 2 Börsenkurs 2 Capital income 2 Decision under uncertainty 2 Decision-making under uncertainty 2 Entscheidung unter Unsicherheit 2 Financial crisis 2 Financial market 2 Finanzkrise 2 Finanzmarkt 2 Growth-optimal portfolio 2 Jensen’s alpha 2 Kapitaleinkommen 2 Kelly Criterion 2 Option pricing theory 2 Optionspreistheorie 2 Portfolio theory 2 Rational expectations 2 Rationale Erwartung 2 Share price 2
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Online availability
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Free 31 CC license 2
Type of publication
All
Book / Working Paper 16 Article 15
Type of publication (narrower categories)
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Working Paper 11 Graue Literatur 10 Non-commercial literature 10 Article in journal 9 Aufsatz in Zeitschrift 9 Arbeitspapier 8 Article 6 Hochschulschrift 3
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Language
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English 29 Undetermined 2
Author
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Garivaltis, Alex 8 Bermin, Hans-Peter 4 Holm, Magnus 4 Whelan, Karl 3 Kreuser, Jerome 2 Lundström, Christian 2 López de Prado, Marcos M. 2 Scholz, Peter 2 Sornette, Didier 2 Tran, Son 2 Verhoeven, Peter 2 Vince, Ralph 2 Zhu, Qiji Jim 2 Gerlach, Jan-Christian 1 Härdle, Wolfgang Karl 1 Kirstein, Mark 1 Korniejczuk, Adam 1 Rudolf, Markus 1 Sciubba, E. 1 Spinler, Stefan 1 Watt, Richard 1 Wesselhöfft, Niels 1 Winselmann, Kai Philipp 1 Ślepaczuk, Robert 1
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Institution
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Faculty of Economics, University of Cambridge 1 Frankfurt School of Finance and Management 1 Institutionen för Nationalekonomi, Umeå Universitet 1
Published in...
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CPQF Working Paper Series 2 Games 2 International Journal of Financial Studies 2 International Journal of Financial Studies : open access journal 2 Knut Wicksell working paper : working papers 2 Research paper series / Swiss Finance Institute 2 Cambridge Working Papers in Economics 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Decisions in economics and finance : a journal of applied mathematics 1 IRTG 1792 Discussion Paper 1 International journal of theoretical and applied finance : IJTAF 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 Risks 1 Risks : open access journal 1 Swiss Finance Institute Research Paper 1 UCD Centre for Economic Research Working Paper Series 1 Umeå Economic Studies 1 Umeå economic studies 1 Working paper 1 Working paper series 1 Working papers 1
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Source
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ECONIS (ZBW) 19 EconStor 9 RePEc 3
Showing 1 - 10 of 31
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When Harry met Kelly : an overlooked result in the classical theory of optimal capital growth
Watt, Richard - 2025
Persistent link: https://www.econbiz.de/10015394373
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On optimal betting strategies with multiple mutually exclusive outcomes
Whelan, Karl - 2025
Persistent link: https://www.econbiz.de/10015396236
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Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market
Korniejczuk, Adam; Ślepaczuk, Robert - 2024
Persistent link: https://www.econbiz.de/10014634696
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The geometry of risk adjustments
Bermin, Hans-Peter; Holm, Magnus - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 83-120
Persistent link: https://www.econbiz.de/10015044786
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Fortune's formula or the road to ruin? The generalized Kelly Criterion with multiple outcomes
Whelan, Karl - 2023
optimal betting strategy is more aggressive than strategies derived from considering each outcome separately such as the Kelly … criterion. This strategy also recommends sometimes placing bets with negative expected returns because they act as hedges …
Persistent link: https://www.econbiz.de/10014540523
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Fortune's formula or the road to ruin? : the generalized Kelly Criterion with multiple outcomes
Whelan, Karl - 2023
optimal betting strategy is more aggressive than strategies derived from considering each outcome separately such as the Kelly … criterion. This strategy also recommends sometimes placing bets with negative expected returns because they act as hedges …
Persistent link: https://www.econbiz.de/10014279232
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Kelly trading and market equilibrium
Bermin, Hans-Peter; Holm, Magnus - In: International journal of theoretical and applied … 26 (2023) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10014305905
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A note on universal bilinear portfolios
Garivaltis, Alex - In: International Journal of Financial Studies 9 (2021) 1, pp. 1-17
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios". I generalize Cover's benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight by considering the best bilinear trading...
Persistent link: https://www.econbiz.de/10013200336
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Kelly criterion for optimal credit allocation
Tran, Son; Verhoeven, Peter - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-15
is established through a conceptual construct called the Kelly criterion. Conflicting performance measures in dichotomous …
Persistent link: https://www.econbiz.de/10013201118
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Kelly criterion for optimal credit allocation
Tran, Son; Verhoeven, Peter - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-15
is established through a conceptual construct called the Kelly criterion. Conflicting performance measures in dichotomous …
Persistent link: https://www.econbiz.de/10012628483
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