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- W3170292149 abstract "Fractional Kelly portfolios are popular investment strategies in the market. In this paper, we improve the mean-variance efficiency of a fractional Kelly portfolio by minimizing the variance of the return of a portfolio subject to the constraint that the expected return rate of the portfolio is as high as that of the fractional Kelly portfolio. We consider so-called equilibrium portfolio strategies due to time inconsistency caused by the mean-variance criterion. We drive an equilibrium strategy in closed form and show that it reduces the variance of portfolio return compared to the fractional Kelly portfolio, although the reduction is quantitatively small." @default.
- W3170292149 created "2021-06-22" @default.
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- W3170292149 date "2020-01-01" @default.
- W3170292149 modified "2023-09-25" @default.
- W3170292149 title "Dynamic Mean-Variance Efficient Fractional Kelly Portfolios in a Stochastic Volatility Model" @default.
- W3170292149 doi "https://doi.org/10.2139/ssrn.3670621" @default.
- W3170292149 hasPublicationYear "2020" @default.
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