Lifetime Portfolio Selection by Dynamic Stochastic Programming

Paul Samuelson

Chapter 31 in The Kelly Capital Growth Investment Criterion:Theory and Practice, 2011, pp 465-472 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionBasic AssumptionsSolution of the ProblemBernoulli and Isoelastic CasesConclusionREFERENCES

Keywords: Kelly Criterion; Dynamic Investment Analysis; Capital Growth Theory; Sports Betting; Hedge Fund Strategies; Speculative Investing; Fortune 's Formula (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814293501_0031 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814293501_0031 (text/html)
Ebook Access is available upon purchase.

Related works:
Journal Article: Lifetime Portfolio Selection by Dynamic Stochastic Programming (1969)
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:wsi:wschap:9789814293501_0031

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().