Kelly investing with downside risk control in a regime-switching market
Author:
Affiliation:
1. Rowe School of Business, Dalhousie University, Halifax, NS B3H 4R2, Canada
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1993617
Reference26 articles.
1. Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment
2. International Asset Allocation With Regime Shifts
3. How Regimes Affect Asset Allocation
4. Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
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