A Rational Risk Policy? Why Path Dependence Matters
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DOI: 10.3390/e25020202
Abstract: The Kelly criterion determines optimal bet sizes that maximize long-term growth. While growth is definitely an important consideration, the focus on growth alone can lead to significant drawdowns, leading to psychological discomfort for a risk-taker.… read more here.
Keywords: path dependent; rational risk; risk policy; growth ... See more keywords