Sign in

Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes

By Yingdong Lv and Bernhard Meister
In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the... Show more
March 17, 2009
=
0
Loading PDF…
Loading full text...
Similar articles
Loading recommendations...
=
0
x1
Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
Click on play to start listening