Showing papers on "Kelly criterion published in 2004"
TL;DR: In this paper, the authors discuss the allocation of capital over time with several risky assets using the capital growth log utility approach with conditions requiring that specific goals are achieved with high probability.
60 citations
TL;DR: In this paper, it is shown that the median of the gambler's fortune maximizes the expected time required to reach a specified goal, which is a desirable property of the Kelly system.
Abstract: It is well known that the Kelly system of proportional betting, which maximizes the long-term geometric rate of growth of the gambler's fortune, minimizes the expected time required to reach a specified goal. Less well known is the fact that it maximizes the median of the gambler's fortune. This was pointed out by the author in a 1988 paper, but only under asymptotic assumptions that might cause one to question its applicability. Here we show that the result is true more generally, and argue that this is a desirable property of the Kelly system.
27 citations