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

Ruanmin Cao Zhenya Liu 1 Shixuan Wang 2 Weifeng Zhou
1 CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille
2 Cardiff University
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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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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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