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

Ruanmin Cao; Zhenya Liu; Shixuan Wang; Weifeng Zhou

doi:10.4236/tel.2017.75098

Journal Articles Theoretical Economics Letters Year : 2017

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

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Ruanmin Cao

Function : Author

Zhenya Liu

Function : Author
PersonId : 791578
ORCID : 0000-0003-2237-3257

Centre d'Études et de Recherche en Gestion d'Aix-Marseille

Shixuan Wang

Function : Author
PersonId : 791579
ORCID : 0000-0003-2113-5521

Cardiff University

Weifeng Zhou

Function : Author

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Humanities and Social Sciences Business administration

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https://hal-amu.archives-ouvertes.fr/hal-01794433

Submitted on : Thursday, May 17, 2018-3:09:19 PM

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hal-01794433 , version 1 (17-05-2018)

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HAL Id : hal-01794433 , version 1
DOI : 10.4236/tel.2017.75098

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

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

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