2009/01/01 by Yingdong Lv, Bernhard K. Meister
Computer Science · Economics, Econometrics and Finance · Mathematics · #Applied mathematics #Computer science #Economic theories and models #Economics #Epistemology #Finance #Financial economics #Financial market #Investment (military) #Investment strategy #Lévy process #Mathematical economics #Mathematical optimization #Mathematics #Microeconomics #Optimization and Variational Analysis #Ornstein–Uhlenbeck process #Philosophy #Portfolio #Process (computing) #Set (abstract data type) #Simple (philosophy) #Statistics #Stochastic process #Stochastic processes and financial applications #q-fin.PM
paper · pdf · doi:10.1007/978-3-642-02466-5_105
presented at Complex'2009 (Shanghai, Feb. 23-25)
openalex publication_date 2009/01/01 · arxiv created 2009/03/17 · arxiv updated 2015/05/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the optimal portfolio for a set of price processes satisfying some simple conditions. Properties of the optimal investment strategy for assets governed by multiple Ornstein-Uhlenbeck processes are studied. The paper ends with a short discussion of the implications of these ideas for financial markets.