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Portfolio choice and the Bayesian Kelly criterion
14 references·16 citing·44 second hop
Portfolio choice and the Bayesian Kelly criterion (1996)Portfolio choice and the Bayesian Kelly c…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Numerical Methods for Stochas…Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Weak Limit Theorems for Stoch…Universal Portfolios (1991)Universal PortfoliosOptimal Stopping and the American Put (1991)Optimal Stopping and the Amer…Continuous-Time Finance. (1991)Continuous-Time Finance.Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Optimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Asymptotic Optimality and Asy…OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…The Adaptive Markets Hypothesis (2024)The Adaptive Markets Hypothes…The growth of relative wealth and the Kelly criterion (2017)The growth of relative wealth…Futures trading with transaction costs (2010)Futures trading with transact…Capital growth: Theory and practice (2008)Capital growth: Theory and pr…Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations (2006)Dynamic Portfolio Choice with…Time to wealth goals in capital accumulation (2005)Time to wealth goals in capit…MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS (2003)MODEL PERFORMANCE MEASURES FO…MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY (2002)MARKET SELECTION OF FINANCIAL…FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES (2002)FROM RAGS TO RICHES: ON CONST…Market Selection of Financial Trading Strategies: Global Stability (2001)Market Selection of Financial…From Rags to Riches: On Constant Proportions Investment Strategies (2001)From Rags to Riches: On Const…Maximizing the probability of a perfect hedge (1999)Maximizing the probability of…Growth versus security tradeoffs indynamic investment analysis (1999)Growth versus security tradeo…The return on investment from proportional portfolio strategies (1998)The return on investment from…Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time (1997)Survival and Growth with a Li…Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management (1997)Reaching Goals by a Deadline:…Multiple channel queues in heavy traffic. I (1970)Open Queueing Networks in Heavy Traffic (1984)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)A Dynamic Model of Optimal Capital Structure (2007)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)Stochastic Differential Equations and Diffusion Processes (1983)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Nonlinear Regressions with Integrated Time Series (2001)A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries (2008)Stochastic Integration and Differential Equations : A New Approach (2014)The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)Portfolio Selection (1952)A Simplified Model for Portfolio Analysis (1963)Essays in the Theory of Risk-Bearing. (1972)Adaptive Game Playing Using Multiplicative Weights (1999)Efficient algorithms for online decision problems (2004)Robust Dynamic Programming (2005)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)THE DEMAND FOR RISKY ASSETS (1977)A Benchmark Approach to Quantitative Finance (2006)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Heavy traffic resource pooling in parallel‐server systems (1999)Investment Shocks and Asset Prices (2011)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
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  • 1991Universal Portfolios581 cited
  • 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations546 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions347 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited
  • 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment343 cited
  • 1989Optimization Problems in the Theory of Continuous Trading284 cited

Cited by

  • 2002

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MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
80 cited
  • 2006Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations77 cited
  • 2001Market Selection of Financial Trading Strategies: Global Stability67 cited
  • 1999Maximizing the probability of a perfect hedge63 cited
  • 1998The return on investment from proportional portfolio strategies60 cited
  • 1999Growth versus security tradeoffs indynamic investment analysis52 cited
  • 2005Time to wealth goals in capital accumulation48 cited
  • 2001From Rags to Riches: On Constant Proportions Investment Strategies44 cited
  • 2017The growth of relative wealth and the Kelly criterion39 cited
  • 1997Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management36 cited
  • 2003MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS32 cited
  • 2008Capital growth: Theory and practice27 cited
  • 2002FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES26 cited
  • 2010Futures trading with transaction costs24 cited
  • 2024The Adaptive Markets Hypothesis20 cited
  • 1997Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time20 cited