Journal articles
Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios
1
CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille (Clos Guiot Puyricard - CS 30063 - 13089 Aix en Provence Cedex 2 - France)
- AMU - Aix Marseille Université : EA4225 (Aix-Marseille Université Jardins du Pharo 58 Boulevard Charles Livon 13284 Marseille cedex 7 - France)
- UTLN - Université de Toulon : EA4225 (Avenue de l'Université - BP 20132 - 83957 La Garde Cedex - France)
2
Cardiff University (Cardiff
Wales
CF10 3AT - United Kingdom)
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Journal articles
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https://hal-amu.archives-ouvertes.fr/hal-01794433
Contributor : Fabienne Perez <>
Submitted on : Thursday, May 17, 2018 - 3:09:19 PM
Last modification on : Friday, May 18, 2018 - 1:26:27 AM
Contributor : Fabienne Perez <>
Submitted on : Thursday, May 17, 2018 - 3:09:19 PM
Last modification on : Friday, May 18, 2018 - 1:26:27 AM
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- HAL Id : hal-01794433, version 1
- DOI : 10.4236/tel.2017.75098
Citation
Ruanmin Cao, Zhenya Liu, Shixuan Wang, Weifeng Zhou. Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios. Theoretical Economics Letters, Irvine, CA : Scientific Research Publishing, Inc., inPress, 07 (05), pp.1453 - 1472. ⟨10.4236/tel.2017.75098⟩. ⟨hal-01794433⟩
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