The Risk-Averse Kelly Investments

Student: Ovsiannikov Maksim

Educational Programme: Statistical Modelling and Actuarial Science (Master)

Year of Graduation: 2019

Перевести вGoogleBingWith the restrictions imposed by us in the case of continuous time as in the discrete case, the optimal strategy is to invest part of the capital (regardless of the amount of capital) achieved at the time of decision. The share depends on the current state of the return process (and possibly its history) and the usefulness of the fact of winning a given move, based on the history of previous results. This ratio is characterized as the only positive (if it exists) solution to the optimization problem for one asset (and possibly one risk-free asset), and a portfolio consisting of a set of risky assets and one risk-free asset. In the absence of a positive decision, the trader refrains from investing in this move.With the restrictions imposed by us in the case of continuous time as in the discrete case, the optimal strategy is to invest part of the capital (regardless of the amount of capital) achieved at the time of decision. The share depends on the current state of the return process (and possibly its history) and the usefulness of the fact of winning a given move, based on the history of previous results. This ratio is characterized as the only positive (if it exists) solution to the optimization problem for one asset (and possibly one risk-free asset), and a portfolio consisting of a set of risky assets and one risk-free asset. In the absence of a positive decision, the trader refrains from investing in this move.

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