Practical Implementation of the Kelly Criterion: Optimal Growth Rate, Number of Trades, and Rebalancing Frequency for Equity Portfolios

Andrea Carta, Claudio Conversano. Practical Implementation of the Kelly Criterion: Optimal Growth Rate, Number of Trades, and Rebalancing Frequency for Equity Portfolios. Frontiers Appl. Math. Stat., 6:577050, 2020. [doi]

Abstract

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