17 citations · 41 across the 8 of their papers we have counts for
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q-fin.PM2017
Multi-Period Trading via Convex Optimization
Stephen Boyd, Enzo Busseti, Steven Diamond +4
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, wher…
q-fin.PM2016
Risk-Constrained Kelly Gambling
Enzo Busseti, Ernest K. Ryu, Stephen Boyd
We consider the classic Kelly gambling problem with general distribution of outcomes, and an additional risk constraint that limits the probability of a drawdown of wealth to a giv…