Kreuser, Jérôme; Sornette, Didier - 2018 - Revised 18-Jun-18
investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash … excess risk premium of the risky asset exposed to crashes is an increasing function of the amplitude of the expected crash … obtaining an analytic expression for maximizing the expected log of wealth (Kelly criterion) for the risky asset and a risk …