英文标题：
《Calculated Boldness: Optimizing Financial Decisions with Illiquid Assets》
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作者：
Stanislav Shalunov, Alexei Kitaev, Yakov Shalunov, Arseniy Akopyan
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最新提交年份：
2020
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英文摘要：
We consider games of chance played by someone with external capital that cannot be applied to the game and determine how this affects risk-adjusted optimal betting. Specifically, we focus on Kelly optimization as a metric, optimizing the expected logarithm of total capital including both capital in play and the external capital. For games with multiple rounds, we determine the optimal strategy through dynamic programming and construct a close approximation through the WKB method. The strategy can be described in terms of short-term utility functions, with risk aversion depending on the ratio of the amount in the game to the external money. Thus, a rational player\'s behavior varies between conservative play that approaches Kelly strategy as they are able to invest a larger fraction of total wealth and extremely aggressive play that maximizes linear expectation when a larger portion of their capital is locked away. Because you always have expected future productivity to account for as external resources, this goes counter to the conventional wisdom that super-Kelly betting is a ruinous proposition.
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中文摘要：
我们考虑外部资本无法应用于游戏的人玩的机会游戏，并确定这如何影响风险调整后的最佳下注。具体而言，我们将Kelly优化作为一个指标，优化总资本（包括在用资本和外部资本）的预期对数。对于多轮博弈，我们通过动态规划确定最优策略，并通过WKB方法构造一个逼近。该策略可以用短期效用函数来描述，风险规避取决于游戏中的金额与外部资金的比率。因此，理性玩家的行为会有所不同，既有接近凯利策略的保守策略，因为他们能够投资更大比例的总财富，也有极端激进的策略，当他们的大部分资本被锁定时，会最大化线性预期。因为你总是期望未来的生产力会被视为外部资源，这与传统观点相违背，即超级凯利赌博是一个毁灭性的提议。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Economics 经济学
二级分类：Theoretical Economics 理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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一级分类：Physics 物理学
二级分类：Biological Physics 生物物理学
分类描述：Molecular biophysics, cellular biophysics, neurological biophysics, membrane biophysics, single-molecule biophysics, ecological biophysics, quantum phenomena in biological systems (quantum biophysics), theoretical biophysics, molecular dynamics/modeling and simulation, game theory, biomechanics, bioinformatics, microorganisms, virology, evolution, biophysical methods.
分子生物物理、细胞生物物理、神经生物物理、膜生物物理、单分子生物物理、生态生物物理、生物系统中的量子现象（量子生物物理）、理论生物物理、分子动力学/建模与模拟、博弈论、生物力学、生物信息学、微生物、病毒学、进化论、生物物理方法。
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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