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arXiv 2002.03448math.PRq-fin.MF
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Kelly准则:从简单随机游动到Lévy过程

Kelly Criterion: From a Simple Random Walk to Lévy Processes

Sergey Lototsky, Austin Pollok

摘要:

最初的凯利准则提供了一种策略,在一系列简单的伯努利赌注中最大化长期增长的奖金,也就是说,当每个赌注的预期回报为正值时。这项工作的目的是考虑更一般的回报模型和连续时间,或高频率,这些模型的限制。

英文摘要:

The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in a sequence of simple Bernoulli bets with an edge, that is, when the expected return on each bet is positive. The objective of this work is to consider more general models of returns and the continuous time, or high frequency, limits of those models.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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