کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977819 | 933210 | 2008 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Diversification and limited information in the Kelly game
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the classic Kelly investment game [J.L. Kelly, IEEE Transactions on Information Theory 2 (1956) 185-189] that incorporates these features, and use them to investigate the influence of diversification and limited information on Kelly-optimal portfolios. In particular, we present approximate formulas for optimizing diversified portfolios and exact results for optimal investment in unknown games where the only available information is past outcomes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 24, 15 October 2008, Pages 6151-6158
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 24, 15 October 2008, Pages 6151-6158
نویسندگان
MatúÅ¡ Medo, Yury M. Pis'mak, Yi-Cheng Zhang,