Showing papers on "Kelly criterion published in 1993"

TL;DR: In this paper, it is shown that if a preference relation involves only the tail of a sequence, then that relation can be extended to stochastic wealth sequences by almost sure equality, and if tail preferences can be described by a simple utility function, one that is of the form lim n→∞ ρ (W n, n) where Wn is wealth at period n, this utility must under suitable conditions be a function of the expected logarithm of return, independent of the functional form of ρ.