The Kelly growth optimal strategy with a stop-loss rule
نویسندگان
چکیده
منابع مشابه
Generalizing the Kelly strategy
A recent draft by Victor Haghani and Richard Dewey [1] describes an experiment where participants were given initial wealth, a coin of known bias, and could bet a (variable) proportion of their in-game wealth on a sequence of flips of this coin. Assuming log utility and uncapped reward, the optimal strategy is to bet as per the Kelly strategy. Interestingly, the participants in general did not ...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2014
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2013.868923