Optimal Betting: Beyond the Long-Term Growth
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866913753854902272 |
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| author | Hakobyan, Levon Lototsky, Sergey |
| author_facet | Hakobyan, Levon Lototsky, Sergey |
| contents | While the Kelly portfolio has many desirable properties, including optimal long-term growth rate, the resulting investment strategy is rather aggressive. In this paper, we suggest a unified approach to the risk assessment of the Kelly criterion in both discrete and continuous time by introducing and analyzing the asymptotic variance that describes fluctuations of the portfolio growth, and use the results to propose two new measures for quantifying risk. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_17927 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Optimal Betting: Beyond the Long-Term Growth Hakobyan, Levon Lototsky, Sergey Risk Management Probability 91A60 While the Kelly portfolio has many desirable properties, including optimal long-term growth rate, the resulting investment strategy is rather aggressive. In this paper, we suggest a unified approach to the risk assessment of the Kelly criterion in both discrete and continuous time by introducing and analyzing the asymptotic variance that describes fluctuations of the portfolio growth, and use the results to propose two new measures for quantifying risk. |
| title | Optimal Betting: Beyond the Long-Term Growth |
| topic | Risk Management Probability 91A60 |
| url | https://arxiv.org/abs/2503.17927 |