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Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes

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 نشر من قبل Bernhard Meister
 تاريخ النشر 2009
  مجال البحث مالية
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In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the optimal portfolio for a set of price processes satisfying some simple conditions. Properties of the optimal investment strategy for assets governed by multiple Ornstein-Uhlenbeck processes are studied. The paper ends with a short discussion of the implications of these ideas for financial markets.



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