LV, YINGDONG; MEISTER, BERNHARD K. - In: International Journal of Theoretical and Applied … 13 (2010) 01, pp. 93-112
In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the...