Multivariate volatility regulated Kelly strategy : a superior choice in low correlated portfolios
Year of publication: |
August 2017
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Authors: | Cao, Ruanmin ; Liu, Zhenya ; Wang, Shixuan ; Zhou, Weifeng |
Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 7.2017, 5, p. 1453-1472
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Subject: | Kelly | Low Correlation | Portfolio | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Volatilität | Volatility | Großbritannien | United Kingdom | Theorie | Theory |
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