Portfolio Choice and the Bayesian Kelly Criterion

We derive optimal gambling and investment policies for cases in which the underlying stochastic process has parameter values that are unobserved random variables. For the objective of maximizing logarithmic utility when the underlying stochastic process is a simple random walk in a random environmen...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Advances in Applied Probability. - Applied Probability Trust. - 28(1996), 4, Seite 1145-1176
1. Verfasser:	Browne, Sid (VerfasserIn)
Weitere Verfasser:	Whitt, Ward
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	1996
Zugriff auf das übergeordnete Werk:	Advances in Applied Probability
Schlagworte:	Betting systems Proportional gambling Kelly criterion Portfolio theory Logarithmic utility Random walks in a random environment Kiefer process Time-changed Brownian motion Conjugate priors Bayesian control mehr... Mathematics Physical sciences Behavioral sciences Applied sciences Economics Philosophy