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The Kelly Capital Growth Investment Strategy (KCGIS) is to maximize the expected utility of nal wealth with a logarithmic utility function. This approach dates to Bernoulli's 1738 suggestion of log as the utility function arguing that marginal utility was proportional to the reciprocal of...
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Merton, influencing both theory and practice, enabling the question of how do we measure risk? "-- …
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substantiate the hypothesis. -- History of Finance ; Portfolio Theory ; Business Schools ; Modern Financial Economics ; Modelling …
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