Diversification and limited information in the Kelly game

Medo M; Pismak YM; Zhang YC

首页> 外文期刊>Physica, A. Statistical mechanics and its applications >Diversification and limited information in the Kelly game

【24h】

Diversification and limited information in the Kelly game

机译：凯利游戏中的多元化和有限信息

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the classic Kelly investment game [J.L. Kelly, IEEE Transactions on Information Theory 2 (1956) 185-189] that incorporates these features, and use them to investigate the influence of diversification and limited information on Kelly-optimal portfolios. In particular, we present approximate formulas for optimizing diversified portfolios and exact results for optimal investment in unknown games where the only available information is past outcomes. (C) 2008 Elsevier B.V. All rights reserved.

机译：金融市场具有广泛的不同投资机会，可以看作是由许多不同的同时发生的游戏组成的系统，它们的风险和报酬水平各不相同，而且往往是未知的。我们将归纳法引入经典的Kelly投资游戏[J.L. Kelly，IEEE Transactions on Information Theory 2（1956）185-189]结合了这些功能，并使用它们来研究多样化和有限信息对Kelly最优投资组合的影响。特别是，我们提供了用于优化多元化投资组合的近似公式，以及用于在未知游戏中进行最佳投资的精确结果，其中唯一可用的信息是过去的结果。（C）2008 Elsevier B.V.保留所有权利。

著录项

来源
《Physica, A. Statistical mechanics and its applications》 |2008年第24期|共8页
作者
Medo M; Pismak YM; Zhang YC;
展开▼
作者单位

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类分子物理学、原子物理学;
关键词
Kelly game; portfolio optimization; diversification; information; INVESTMENT; CRITERION;

机译：凯利博弈;投资组合优化;多元化;信息;投资;准则;

相似文献

外文文献
中文文献
专利

1. Diversification and limited information in the Kelly game [J] . Medo M, Pismak YM, Zhang YC Physica, A. Statistical mechanics and its applications . 2008,第24期

机译：凯利游戏中的多元化和有限信息
2. Diversifying the Diversifiers and Tracking the Tracking Error: Outperforming Cap-Weighted Indices with Limited Risk of Underperformance [J] . Noel Amenc, Felix Goltz, Ashish Lodh, The Journal of Portfolio Management . 2012,第3期

机译：对多元化经营者进行多元化经营并追踪跟踪误差：表现不佳的风险有限的领先于加盖加权指数
3. Kabra Extrusiontechnik Limited (KEL), India and Unicor GmbH, Germany enter a strategic partnership to provide fully integrated extrusion solutions for corrugated pipes! [J] . Plastics news group Plastics news . 2016,第11期

机译：印度Kabra Extrusiontechnik Limited（KEL）和德国Unicor GmbH结成战略合作伙伴关系，为波纹管提供完全集成的挤出解决方案！
4. An Adaptive Kelly Betting Strategy for Finite Repeated Games [C] . Mu-En Wu, Hui-Huang Tsai, Raylin Tso, International Conference on Genetic and Evolutionary Computing . 2016

机译：用于有限次重复游戏的自适应凯利博彩策略
5. Geographic Diversification and Commercial Bank Insolvency Risk and Essays on Crowdfunding and Subscription Games. [D] . Swanson, Andrew. 2016

机译：地域多元化和商业银行破产风险以及关于众筹和认购游戏的论文。
6. Evolution of Listeria monocytogenes in a Food Processing Plant Involves Limited Single-Nucleotide Substitutions but Considerable Diversification by Gain and Loss of Prophages [O] . Anna Sophia Harrand, Balamurugan Jagadeesan, Leen Baert, 2020

机译：食品加工厂中单核细胞增生李斯特菌的进化涉及有限的单核苷酸取代但由于获得和减少了噬菌体而引起的多样化
7. Diversification and limited information in the Kelly game [O] . Medo, Matúš, Pis’mak, Yury M., Zhang, Yi-Cheng 2008

机译：凯利游戏中的多元化和有限信息
8. Somatic Diversification of the Chicken Immunoglobulin Light Chain Gene is limited to the Rearranged Variable Gene Segment [R] . Thompson, C. B., Neiman, P. E. 1987

机译：鸡免疫球蛋白轻链基因的体细胞多样化局限于重排的可变基因片段

Diversification and limited information in the Kelly game

摘要

著录项

相似文献

相关主题

期刊订阅