Portfolio choice and the Bayesian Kelly criterion

Advances in Applied Probability

Volumn 28, Issue 4, 1996, Pages 1145-1176

  Browne, Sid ^a   Whitt, Ward ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b LUCENT TECHNOLOGIES   (United States)

Author keywords

Bayesian control; Betting systems; Conjugate priors; Kelly criterion; Kiefer process; Logarithmic utility; Portfolio theory; Proportional gambling; Random walks in a random environment; Time changed brownian motion

Indexed keywords

EID: 0042661526     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0001867800027592     Document Type: Article

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