Fund Separation and Fractional Kelly Strategies

In the diffusions setting introduced in Part I, investment management models have a significant benefit: they generate an investment strategy in closed form. This closed form strategy can be transformed, via a fund separation theorem or a fractional Kelly strategy, into a practical recipe for constructing investable portfolios…

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Authors:	Davis, Mark H. A. ; Lleo, Sébastien
Published in:	Risk-Sensitive Investment Management.
Subject:	Stochastic Control \| Risk Sensitive Control \| Dynamic Investment Management \| Benchmarked Asset Management \| Asset and Liability Management \| Jump Diffusion Processes \| Lévy Processes \| Hamilton–Jacobi–Bellman Equations \| Classical Solutions \| Viscosity Solutions \| Kelly Criterion

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; C02 - Mathematical Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011206626