Kelly criterion for variable pay-off
Probability
2014-11-14 v1 Portfolio Management
Abstract
We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off.
Cite
@article{arxiv.1411.3615,
title = {Kelly criterion for variable pay-off},
author = {Ricardo Pérez-Marco},
journal= {arXiv preprint arXiv:1411.3615},
year = {2014}
}
Comments
5 pages