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q-fin.PM2018★ 6 cited
Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework
Chung-Han Hsieh, John A. Gubner, B. Ross Barmish
In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio weight selection to maximize expected logarithmic growth. Going beyond existing liter…
q-fin.PM2017★ 15 cited
Kelly Betting Can Be Too Conservative
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
Kelly betting is a prescription for optimal resource allocation among a set of gambles which are typically repeated in an independent and identically distributed manner. In this se…