Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 3 of 3 for “"Kelly criterion"”.
-
Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
… Last, we use the leverage suggested by Kelly Formula, once again improving the results.
-
Kelly Investing with Iteratively Updated Estimates of the Probability of Success
The Kelly criterion is an investment strategy that determines the appropriate fraction of fortune to invest in positive expectation opportunities in order to maximize growth. This thesis investigates the performance of Kelly-related strategies in binary outcome opportunities when the probability of …
-
Economic behavior from an evolutionary perspective
… how the optimal behavior deviates from the Kelly Criterion, regardless of whether the investor is myopic or maximizing the infinite-horizon wealth.