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Kelly Criterion for Multivariate Portfolios: A Model-Free Approach

SSRN Electronic Journal
2014
  • 6
    Citations
  • 63,378
    Usage
  • 134
    Captures
  • 2
    Mentions
  • 7
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    6
    • Citation Indexes
      6
  • Usage
    63,378
    • Abstract Views
      47,342
    • Downloads
      16,036
  • Captures
    134
    • Readers
      132
    • Exports-Saves
      2
      • SSRN
        2
  • Mentions
    2
    • News Mentions
      1
      • 1
    • References
      1
      • 1
  • Social Media
    7
    • Shares, Likes & Comments
      7
      • Facebook
        7
  • Ratings
    • Download Rank
      508

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Article Description

The Kelly criterion is a money management principle that beats any other approach in many respects. In particular, it maximizes the expected growth rate and the median of the terminal wealth. However, until recently application of the Kelly criterion to multivariate portfolios has seen little analysis. We briefly introduce the Kelly criterion and then present its multivariate version based only on the first and the second moments of the asset excess returns. Additionally, we provide a simple numerical algorithm to manage virtually arbitrarily large portfolios according to so-called fractional Kelly strategies.

Bibliographic Details

Vasily Nekrasov

Elsevier BV

Kelly criterion; money management; multivariate portfolios; fractional Kelly strategies; analytic and numerical approximation; portfolio optimization on GPUs; CUDA

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