Money management is one of the most important issues in financial trading. Many skills of
money managements are based on the Kelly criterion, which is a theoretical optimization of …

The Kelly criterion can be used to maximize returns in a game with win rate p and odds b;
however, optimization theoretically requires wagering over an infinite number of time steps …

In this letter, we consider a discrete-time portfolio with m≥ 2 assets optimization problem
which includes the rebalancing frequency as an additional parameter in the maximization …

We study the problem of optimizing the betting frequency in a dynamic game setting using
Kelly's celebrated expected logarithmic growth criterion as the performance metric. The …

In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio
weight selection to maximize expected logarithmic growth of a trader's account. Going …

The main question we would like to address in this paper is as follows: Given a geometric
Brownian motion (GBM) as the underlying stock price model, what is the cumulative …

We propose a framework of option trading strategy for the simple index futures trading.
According to Kelly criterion, we find the most profitable option strike price for buying side and …

The celebrated Kelly betting strategy guarantees, with probability one, higher long-run
logarithmic growth than any other causal investment strategy. However, on the way to its …

We consider a discrete-time linear state equation with delay, which arises as a model for a
trader's account value when buying and selling a risky asset in a financial market. The state …

Over the years, a diverse range of drawdown measures has evolved to guide asset
management. We show that almost all of these measures fit into a unified framework. This …