A Generalization of the Classical Kelly Betting Formula to the Case of Temporal Correlation

Joseph D. O'Brien, Kevin Burke, Mark E. Burke, B. Ross Barmish. A Generalization of the Classical Kelly Betting Formula to the Case of Temporal Correlation. IEEE Control Systems Letters, 5(2):623-628, 2021. [doi]

Authors

Joseph D. O'Brien

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Kevin Burke

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Mark E. Burke

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B. Ross Barmish

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