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- W2523793612 abstract "Investing in a portfolio strategy, which maximizes the the expected logarithm of capital implies outperforming any other significantly different strategy, given knowledge of the true underlying process (Breiman, 1961). But, the sole use of the Kelly Criterion implies larger bets than a risk-averse investor would accept (Clark and Ziemba, 1987; Hausch and Ziemba, 1985). This paper restricts the Kelly optimization by security measures Value at Risk (VaR) or Expected Shortfall as special cases of the Spectral risk measure.As financial market returns are, with large probability, non-Gaussian, this paper utilizes stable laws and its scaling behavior to model financial market returns for a given horizon in an i.i.d. world. Instead of simulating from the class of elliptically stable distributions, a nonparametric scaling approximation, based on the dataset itself, is proposed. Additionally, assets with non-linear payoff structure, long put-options, are incorporated into the nonlinear optimization to allow for asymmetric payoffs. For chosen special cases of the Spectral measure, this allows to increase the growth-criterion for a given security level." @default.
- W2523793612 created "2016-10-07" @default.
- W2523793612 creator A5036376722 @default.
- W2523793612 date "2016-01-01" @default.
- W2523793612 modified "2023-09-27" @default.
- W2523793612 title "Constrained Kelly Portfolios under -Stable Laws" @default.
- W2523793612 cites W197022872 @default.
- W2523793612 cites W2129889116 @default.
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- W2523793612 doi "https://doi.org/10.2139/ssrn.2845272" @default.
- W2523793612 hasPublicationYear "2016" @default.
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