Diversification and limited information in the Kelly game

Simple item page
dc.creatorMedo, Matus
dc.creatorPis'mak, Yury M.
dc.creatorZhang, Yi-Cheng
dc.date2008-03-10
dc.date2008-07-07
dc.date.accessioned2026-07-07T12:10:28Z
dc.date.available2026-07-07T12:10:28Z
dc.descriptionFinancial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the classic Kelly investment game [Kelly (1956)] that incorporates these features, and use them to investigate the influence of diversification and limited information on Kelly-optimal portfolios. In particular we present approximate formulas for optimizing diversified portfolios and exact results for optimal investment in unknown games where the only available information is past outcomes.
dc.description11 pages, 4 figures
dc.identifierhttps://arxiv.org/abs/0803.1364
dc.identifierhttp://arxiv.org/abs/0803.1364
dc.identifierPhysica A 387, 6151-6158 (2008)
dc.identifierdoi:10.1016/j.physa.2008.07.007
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209946
dc.subjectPortfolio Management
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.subjectApplications
dc.titleDiversification and limited information in the Kelly game
dc.typetext

Files

Collections

arXiv