DOI

Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the classic Kelly investment game [J.L. Kelly, IEEE Transactions on Information Theory 2 (1956) 185-189] that incorporates these features, and use them to investigate the influence of diversification and limited information on Kelly-optimal portfolios. In particular, we present approximate formulas for optimizing diversified portfolios and exact results for optimal investment in unknown games where the only available information is past outcomes.

Язык оригиналаанглийский
Страницы (с-по)6151-6158
Число страниц8
ЖурналPhysica A: Statistical Mechanics and its Applications
Том387
Номер выпуска24
DOI
СостояниеОпубликовано - 15 окт 2008

    Предметные области Scopus

  • Теория вероятности и статистика
  • Физика конденсатов

ID: 41386422