Exact Finite-Horizon Quantile Kelly for Repeated Multi-Outcome Events
Fuente:
arXiv
Saved in:
| Main Author: | Long, Christopher D. |
|---|---|
| Format: | Preprint |
| Published: |
2026
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Risk-Constrained Kelly for Mutually Exclusive Outcomes: CRRA Support Invariance and Logarithmic One-Dimensional Calibration
by: Long, Christopher D.
Published: (2026)
by: Long, Christopher D.
Published: (2026)
Single-Event Multinomial Full Kelly via Implicit State Positions
by: Long, Christopher D.
Published: (2026)
by: Long, Christopher D.
Published: (2026)
Optimal Parlay Wagering and Whitrow Asymptotics: A State-Price and Implicit-Cash Treatment
by: Long, Christopher D.
Published: (2026)
by: Long, Christopher D.
Published: (2026)
Robust Optimal Portfolio in a Mixture Setting with Partial Ambiguity
by: Shyamalkumar, N. D., et al.
Published: (2026)
by: Shyamalkumar, N. D., et al.
Published: (2026)
On a Class of Optimal Reinsurance Problems
by: Shyamalkumar, N. D., et al.
Published: (2026)
by: Shyamalkumar, N. D., et al.
Published: (2026)
Utility-Invariant Support Selection and Eventwise Decoupling for Simultaneous Independent Multi-Outcome Bets
by: Long, Christopher D.
Published: (2026)
by: Long, Christopher D.
Published: (2026)
Large deviations for interacting particle dynamics for finding mixed equilibria in zero-sum games
by: Nilsson, Viktor, et al.
Published: (2022)
by: Nilsson, Viktor, et al.
Published: (2022)
Robust Utility Maximization with Intractable Claims under Distributional Ambiguity: A Random Distributionally Robust Optimization Approach
by: Guan, Guohui, et al.
Published: (2025)
by: Guan, Guohui, et al.
Published: (2025)
Minimizing Spectral Risk Measures Applied to Markov Decision Processes
by: Bäuerle, Nicole, et al.
Published: (2020)
by: Bäuerle, Nicole, et al.
Published: (2020)
Closed-loop strong equilibria for time-inconsistent control problems with higher-order moments
by: Wang, Yike
Published: (2025)
by: Wang, Yike
Published: (2025)
Induced Stackelberg Equilibrium Seeking via Iterative Tikhonov Regularization
by: Cianchi, Silvia, et al.
Published: (2026)
by: Cianchi, Silvia, et al.
Published: (2026)
Resource Allocation Based on Past Incident Patterns
by: van Lieshout, M. N. M.
Published: (2026)
by: van Lieshout, M. N. M.
Published: (2026)
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
by: Escobar-Anel, Marcos, et al.
Published: (2022)
by: Escobar-Anel, Marcos, et al.
Published: (2022)
Markov Decision Processes with Recursive Risk Measures
by: Bäuerle, Nicole, et al.
Published: (2020)
by: Bäuerle, Nicole, et al.
Published: (2020)
Optimal annuitization with labor income under age-dependent force of mortality
by: Birungi, Criscent, et al.
Published: (2025)
by: Birungi, Criscent, et al.
Published: (2025)
Time-consistent portfolio selection with monotone mean-variance preferences
by: Wang, Yike, et al.
Published: (2025)
by: Wang, Yike, et al.
Published: (2025)
Distributionally Robust Markov Decision Processes and their Connection to Risk Measures
by: Bäuerle, Nicole, et al.
Published: (2020)
by: Bäuerle, Nicole, et al.
Published: (2020)
On the equivalence of semidefinite programming and zero-sum semidefinite games
by: Elliott, Jesse, et al.
Published: (2026)
by: Elliott, Jesse, et al.
Published: (2026)
Common Noise by Random Measures: Constructing Mean-Field Equilibria for Competitive Investment and Hedging
by: Becherer, Dirk, et al.
Published: (2024)
by: Becherer, Dirk, et al.
Published: (2024)
Splitting infinity: a de Finetti game with state-dependent profit rates and singular control for diffusions
by: Chlebicki, Piotr, et al.
Published: (2025)
by: Chlebicki, Piotr, et al.
Published: (2025)
Robo-Advising in Motion: A Model Predictive Control Approach
by: Bielecki, Tomasz R., et al.
Published: (2026)
by: Bielecki, Tomasz R., et al.
Published: (2026)
The Madness of Multiple Entries in March Madness
by: Decary, Jeff, et al.
Published: (2024)
by: Decary, Jeff, et al.
Published: (2024)
Bayesian Distributionally Robust Nash Equilibrium and Its Application
by: Liu, Jian, et al.
Published: (2024)
by: Liu, Jian, et al.
Published: (2024)
Generalized Bayesian Nash Equilibrium with Continuous Type and Action Spaces
by: Tao, Yuan, et al.
Published: (2024)
by: Tao, Yuan, et al.
Published: (2024)
On the Equivalence of Zero-Sum Games and Conic Programs
by: Dimou, Nikos
Published: (2023)
by: Dimou, Nikos
Published: (2023)
Framework for asset-liability management with fixed-term securities
by: Havrylenko, Yevhen
Published: (2025)
by: Havrylenko, Yevhen
Published: (2025)
Strategy Complexity of Limsup and Liminf Threshold Objectives in Countable MDPs, with Applications to Optimal Expected Payoffs
by: Mayr, Richard, et al.
Published: (2022)
by: Mayr, Richard, et al.
Published: (2022)
Multi-Player Resource-Sharing Games with Fair Reward Allocation
by: Wijewardena, Mevan, et al.
Published: (2024)
by: Wijewardena, Mevan, et al.
Published: (2024)
A Boosted-DCA with Power-Sum-DC Decomposition for Linearly Constrained Polynomial Programs
by: Zhang, Hu, et al.
Published: (2022)
by: Zhang, Hu, et al.
Published: (2022)
Variable annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation
by: Alonso-Garcia, Jennifer, et al.
Published: (2025)
by: Alonso-Garcia, Jennifer, et al.
Published: (2025)
Dynamically optimal portfolios for monotone mean--variance preferences
by: Černý, Aleš, et al.
Published: (2025)
by: Černý, Aleš, et al.
Published: (2025)
Relative Arbitrage Opportunities in an Extended Mean Field System
by: Yang, Nicole Tianjiao, et al.
Published: (2023)
by: Yang, Nicole Tianjiao, et al.
Published: (2023)
Stochastic Control of Drawdowns via Reinsurance under Random Inspection
by: Dudziak, Kira, et al.
Published: (2025)
by: Dudziak, Kira, et al.
Published: (2025)
Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach
by: Han, Bingyan, et al.
Published: (2023)
by: Han, Bingyan, et al.
Published: (2023)
Realized Local Volatility Surface
by: Ma, Yuming, et al.
Published: (2025)
by: Ma, Yuming, et al.
Published: (2025)
Joint Pricing and Innovation Control in Regulated Recycling-Rate Diffusion
by: Xie, Bowen, et al.
Published: (2026)
by: Xie, Bowen, et al.
Published: (2026)
MAD Risk Parity Portfolios
by: Ararat, Çağın, et al.
Published: (2021)
by: Ararat, Çağın, et al.
Published: (2021)
Ergodic robust maximization of asymptotic growth with stochastic factor processes
by: Itkin, David, et al.
Published: (2022)
by: Itkin, David, et al.
Published: (2022)
A Framework for Eliminating Paradoxical Orders in European Day-Ahead Electricity Markets through Mixed-Integer Linear Programming Strong Duality
by: Wang, Zhen, et al.
Published: (2026)
by: Wang, Zhen, et al.
Published: (2026)
Existence and Uniqueness Theorem of Continuous and Monotone Bayesian Nash Equilibrium and Stability Analysis
by: Su, Ziheng, et al.
Published: (2025)
by: Su, Ziheng, et al.
Published: (2025)
Similar Items
-
Risk-Constrained Kelly for Mutually Exclusive Outcomes: CRRA Support Invariance and Logarithmic One-Dimensional Calibration
by: Long, Christopher D.
Published: (2026) -
Single-Event Multinomial Full Kelly via Implicit State Positions
by: Long, Christopher D.
Published: (2026) -
Optimal Parlay Wagering and Whitrow Asymptotics: A State-Price and Implicit-Cash Treatment
by: Long, Christopher D.
Published: (2026) -
Robust Optimal Portfolio in a Mixture Setting with Partial Ambiguity
by: Shyamalkumar, N. D., et al.
Published: (2026) -
On a Class of Optimal Reinsurance Problems
by: Shyamalkumar, N. D., et al.
Published: (2026)