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Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere.
16 references·16 citing·24 second hopsampled
Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere. (1975)Portfolio Choice and the Kelly Criterion*…Theory of rational option pricing (2005)Theory of rational option pri…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Valuation of Option Contracts and a Test of Market Efficiency (1972)The Valuation of Option Contr…THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)THE VALUATION OF OPTION CONTR…The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling (1971)The “Fallacy” of Maximizing t…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…Transaction cost optimization for online portfolio selection (2017)Transaction cost optimization…Robust Median Reversion Strategy for Online Portfolio Selection (2016)Robust Median Reversion Strat…Online Portfolio Selection: A Survey (2012)Online Portfolio Selection: A…On-Line Portfolio Selection with Moving Average Reversion (2012)On-Line Portfolio Selection w…Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria (2010)Long-term capital growth: the…Globally evolutionarily stable portfolio rules (2008)Globally evolutionarily stabl…Evolutionary Stable Stock Markets (2006)Evolutionary Stable Stock Mar…Market selection and survival of investment strategies (2005)Market selection and survival…Evolutionary stability of portfolio rules in incomplete markets (2004)Evolutionary stability of por…Portfolio choice with endogenous utility: a large deviations approach (2003)Portfolio choice with endogen…MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY (2002)MARKET SELECTION OF FINANCIAL…Chapter 3 Capital growth theory (1995)Chapter 3 Capital growth theo…The Kelly Criterion and the Stock Market (1992)The Kelly Criterion and the S…Searching for Positive Returns at the Track: A Multinomial Logit Model for Handicapping Horse Races (1986)Searching for Positive Return…Empirical Bayes stock market portfolios (1986)Empirical Bayes stock market …Mean-Variance Approximations to Expected Logarithmic Utility (1983)Mean-Variance Approximations …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Risk Aversion in the Small and in the Large (1964)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)A Theory of the Term Structure of Interest Rates (1985)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Portfolio Analysis in a Stable Paretian Market (1965)On the Distribution of Stock Price Differences (1967)Rational Theory of Warrant Pricing (2015)Option pricing: A simplified approach (1979)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 1971The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling

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Cited by

  • 2016Robust Median Reversion Strategy for Online Portfolio Selection138 cited
  • 2004Evolutionary stability of portfolio rules in incomplete markets131 cited
  • 2006Evolutionary Stable Stock Markets131 cited
  • 2003Portfolio choice with endogenous utility: a large deviations approach108 cited
  • 2005Market selection and survival of investment strategies106 cited
  • 2017Transaction cost optimization for online portfolio selection89 cited
  • 1983Mean-Variance Approximations to Expected Logarithmic Utility89 cited
  • 1992The Kelly Criterion and the Stock Market88 cited
  • 2010Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria84 cited
  • 2002MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY80 cited
  • 1986Searching for Positive Returns at the Track: A Multinomial Logit Model for Handicapping Horse Races78 cited
  • 2012On-Line Portfolio Selection with Moving Average Reversion77 cited
  • 1995Chapter 3 Capital growth theory69 cited
  • 2012Online Portfolio Selection: A Survey68 cited
  • 1986Empirical Bayes stock market portfolios67 cited
  • 2008Globally evolutionarily stable portfolio rules61 cited