Financial portfolio management is one of the problems that are most frequently encountered
in the investment industry. Nevertheless, it is not widely recognized that both Kelly Criterion …

Considering an optimal investment problem for a retailer in electricity market, the objective is
to seek the optimal investment decision that maximizes the weighted sum of the expected …

Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …

The full Kelly portfolio strategy's deficiency in the face of estimation errors in practice can be
mitigated by fractional or shrinkage Kelly strategies. This paper provides an alternative, the …

Kelly betting is a prescription for optimal resource allocation among a set of gambles which
are typically repeated in an independent and identically distributed manner. In this setting …

The focal point of this paper is the so-called Kelly Criterion, a prescription for optimal
resource allocation among a set of gambles which are repeated over time. The criterion calls …

In this paper, we propose an online data-driven sliding window approach to solve a log-
optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a …

Abstract Knowledge discovery is an important aspect of human cognition. The advantage of
the visual approach is in opportunity to substitute some complex cognitive tasks by easier …

We study the problem of optimizing the betting frequency in a dynamic game setting using
Kelly's celebrated expected logarithmic growth criterion as the performance metric. The …

Kelly's Criterion is well known among gamblers and investors as a method for maximizing
the returns one would expect to observe over long periods of betting or investing. These …