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- W3122275687 abstract "An analytic approximation is derived for leverage levels that result from optimization of the logarithmic utility function associated with the Kelly criterion. An extension of this approximation, for the case of returns drawn from Student's t-distribution, is then provided for a prospect-theory approach to the problem, where the log-utility function is replaced by a log-prospect function with power decision weights, intended to give increased weights to low-probability events. It is shown how the traditional “fractional-Kelly” rule arises as a special case of this “prospect-Kelly” approach. Copyright © 2009 Wilmott Magazine Ltd" @default.
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- W3122275687 date "2009-04-01" @default.
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- W3122275687 title "A prospect-theory approach to the Kelly criterion for fat-tail portfolios: the case of Student'st-distribution" @default.
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- W3122275687 doi "https://doi.org/10.1002/wilj.7" @default.
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