Optimal Betting: Beyond the Long-Term Growth

Levon Hakobyan and Sergey Lototsky

Papers from arXiv.org

Abstract: While the Kelly portfolio has many desirable properties, including optimal long-term growth rate, the resulting investment strategy is rather aggressive. In this paper, we suggest a unified approach to the risk assessment of the Kelly criterion in both discrete and continuous time by introducing and analyzing the asymptotic variance that describes fluctuations of the portfolio growth, and use the results to propose two new measures for quantifying risk.

Date: 2025-03
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2503.17927 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2503.17927

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().