Abstract
The growth optimal investment strategy has been shown to be highly effective for structured decision problems such as blackjack, sports betting, and high frequency trading. For securities markets, these strategies are more difficult to apply due to a variety of practical issues: structural changes in market behavior due to varying risk premium and related factors, transaction costs, operational constraints, and path dependent risk measures for many investors, including surplus risks for a defined-benefit pension plan. In addition, the standard three step approach for institutional money management does not allow for rapid changes in asset allocation - especially needed during highly turbulent periods. We modify the growth models to address downside protection, along with applying a portfolio of investment strategies - to improve diversification of the portfolio. Empirical results show the benefits of the concepts during normal and crash (2008) periods.
Original language | English (US) |
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Title of host publication | The Kelly Capital Growth Investment Criterion |
Subtitle of host publication | Theory And Practice |
Publisher | World Scientific Publishing Co. |
Pages | 735-751 |
Number of pages | 17 |
ISBN (Electronic) | 9789814293501 |
ISBN (Print) | 9789814293495 |
State | Published - Feb 10 2011 |
Externally published | Yes |
All Science Journal Classification (ASJC) codes
- General Economics, Econometrics and Finance
- General Business, Management and Accounting
- General Mathematics