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Research progress on the Kelly game

✍ Scribed by Liang Zhang

Publisher
Elsevier
Year
2010
Tongue
English
Weight
533 KB
Volume
3
Category
Article
ISSN
1875-3892

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✦ Synopsis

The growth-optimal portfolio optimization strategy has been investigated in many ways since firstly pioneered by Kelly. This paper firstly introduces the research progress of this so-called Kelly game. Based on the original Kelly game the optimality is shortly proofed. Especially generalized research is introduced such as the relation between M-V approach and the Kelly approach, the question of diversification, the influence of transaction fees and limited information, etc. Then the application of Kelly strategy is discussed with some conclusions.

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