Medo, Matúš Pis’mak, Yury M. Zhang, Yi-Cheng 2008-07-11 Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the classic Kelly investment game [J.L. Kelly, IEEE Transactions on Information Theory 2 (1956) 185–189] that incorporates these features, and use them to investigate the influence of diversification and limited information on Kelly-optimal portfolios. In particular, we present approximate formulas for optimizing diversified portfolios and exact results for optimal investment in unknown games where the only available information is past outcomes. application/pdf https://folia.unifr.ch/global/documents/300801 https://folia.unifr.ch/documents/300801/files/medo_dli.pdf eng info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2008.07.007 info:eu-repo/semantics/openAccess License undefined Physica A: Statistical Mechanics and its Applications. - 2008, vol. 387, no. 24, p. 6151-6158 Kelly game portfolio optimization diversification information info:eu-repo/classification/udc/53 Diversification and limited information in the Kelly game http://purl.org/coar/resource_type/c_6501