Kelly Criterion revisited: optimal bets
物理与社会
2009-11-13 v1 数据分析、统计与概率
投资组合管理
摘要
Kelly criterion, that maximizes the expectation value of the logarithm of wealth for bookmaker bets, gives an advantage over different class of strategies. We use projective symmetries for a explanation of this fact. Kelly's approach allows for an interesting financial interpretation of the Boltzmann/Shannon entropy. A "no-go" hypothesis for big investors is suggested.
引用
@article{arxiv.physics/0607166,
title = {Kelly Criterion revisited: optimal bets},
author = {Edward W. Piotrowski and Malgorzata Schroeder},
journal= {arXiv preprint arXiv:physics/0607166},
year = {2009}
}
备注
APFA5 Conference, Torino, 2006