Sergey V. Lototsky, Austin Pollok. Kelly Criterion: From a Simple Random Walk to Lévy Processes. SIAM J. Financial Math., 12(1):342-368, 2021. [doi]
@article{LototskyP21,
title = {Kelly Criterion: From a Simple Random Walk to Lévy Processes},
author = {Sergey V. Lototsky and Austin Pollok},
year = {2021},
doi = {10.1137/20M1330488},
url = {https://doi.org/10.1137/20M1330488},
researchr = {https://researchr.org/publication/LototskyP21},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {12},
number = {1},
pages = {342-368},
}