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Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios

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https://hal-amu.archives-ouvertes.fr/hal-01794433
Contributor : Fabienne Perez Connect in order to contact the contributor
Submitted on : Thursday, May 17, 2018 - 3:09:19 PM
Last modification on : Wednesday, November 3, 2021 - 9:38:52 AM

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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., In press, 07 (05), pp.1453 - 1472. ⟨10.4236/tel.2017.75098⟩. ⟨hal-01794433⟩

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