Journal article

Diversification and limited information in the Kelly game

  • Medo, Matúš Physics Department, University of Fribourg, Switzerland
  • Pis’mak, Yury M. Department of Theoretical Physics, State University of Saint-Petersburg, Russia
  • Zhang, Yi-Cheng Physics Department, University of Fribourg, Switzerland - Lab of Information Economy and Internet Research, University of Electronic Science and Technology, Chengdu, China
    11.07.2008
Published in:
  • Physica A: Statistical Mechanics and its Applications. - 2008, vol. 387, no. 24, p. 6151-6158
English 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.
Faculty
Faculté des sciences
Department
Physique
Language
  • English
Classification
Physics
License
License undefined
Identifiers
Persistent URL
https://folia.unifr.ch/unifr/documents/300801
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