HIGHLIGHTS
- who: Ruanmin Cao et al. from the CITIC Securities Co, Ltd, Beijing, China, University of Birmingham, Birmingham, UK have published the research work: Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios, in the Journal: (JOURNAL) of August/15,/2017
- what: The authors propose which has extra penalization on variance compared to the criterion. The authors show the superiority of the method in relatively correlated portfolios relative to the fractional and full strategies. The authors propose a new direction for an improved Kelly strategy: a modified target function can outperform traditional Kelly . . .
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