英文标题：
《The Kelly growth optimal strategy with a stop-loss rule》
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作者：
Mads Nielsen
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最新提交年份：
2013
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英文摘要：
From the Hamilton-Jacobi-Bellman equation for the value function we derive a non-linear partial differential equation for the optimal portfolio strategy (the dynamic control). The equation is general in the sense that it does not depend on the terminal utility and provides additional analytical insight for some optimal investment problems with known solutions. Furthermore, when boundary conditions for the optimal strategy can be established independently, it is considerably simpler than the HJB to solve numerically. Using this method we calculate the Kelly growth optimal strategy subject to a periodically reset stop-loss rule.
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中文摘要：
从价值函数的Hamilton-Jacobi-Bellman方程出发，我们导出了最优投资组合策略（动态控制）的非线性偏微分方程。该方程在不依赖终端效用的意义上是通用的，并为已知解的一些最优投资问题提供了额外的分析见解。此外，当最优策略的边界条件可以独立建立时，数值求解比HJB简单得多。利用这种方法，我们计算了周期性重置止损规则下的Kelly增长最优策略。
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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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