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]

@article{OBrienBBB21,
  title = {A Generalization of the Classical Kelly Betting Formula to the Case of Temporal Correlation},
  author = {Joseph D. O'Brien and Kevin Burke and Mark E. Burke and B. Ross Barmish},
  year = {2021},
  doi = {10.1109/LCSYS.2020.3004029},
  url = {https://doi.org/10.1109/LCSYS.2020.3004029},
  researchr = {https://researchr.org/publication/OBrienBBB21},
  cites = {0},
  citedby = {0},
  journal = {IEEE Control Systems Letters},
  volume = {5},
  number = {2},
  pages = {623-628},
}