Work

Kelly criterion for variable pay-off

Year: 2014

Type: preprint

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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1411.3615

Author: Pérez-Marco, Ricardo

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2146689386

Cites: 3

Cited by:

Related to: 10