Necessary and Sufficient Conditions for Frequency-Based Kelly Optimal Portfolio
Sign Up to like & getrecommendations! Published in 2021 at "IEEE Control Systems Letters"
DOI: 10.1109/lcsys.2020.3002214
Abstract: In this letter, we consider a discrete-time portfolio with $m \geq 2$ assets optimization problem which includes the rebalancing frequency as an additional parameter in the maximization. The so-called Kelly Criterion is used as the… read more here.
Keywords: portfolio; kelly optimal; based kelly; inline formula ... See more keywords