英文标题：
《On Kelly Betting: Some Limitations》
---
作者：
Chung-Han Hsieh and B. Ross Barmish
---
最新提交年份：
2017
---
英文摘要：
The focal point of this paper is the so-called Kelly Criterion, a prescription for optimal resource allocation among a set of gambles which are repeated over time. The criterion calls for maximization of the expected value of the logarithmic growth of wealth. While significant literature exists providing the rationale for such an optimization, this paper concentrates on the limitations of the Kelly-based theory. To this end, we fill a void in published results by providing specific examples quantifying what difficulties are encountered when Taylor-style approximations are used and when wealth drawdowns are considered. For the case of drawdown, we describe some research directions which we feel are promising for improvement of the theory.
---
中文摘要：
本文的重点是所谓的Kelly准则，这是一种在一系列不断重复的赌博中进行最优资源分配的方法。该标准要求财富对数增长的预期值最大化。虽然有大量文献为这种优化提供了理论基础，但本文集中讨论了基于Kelly的理论的局限性。为此，我们通过提供具体示例，量化使用泰勒式近似和考虑财富减少时遇到的困难，填补了已发布结果中的空白。对于下降的情况，我们描述了一些我们认为有希望改进理论的研究方向。
---
分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--
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
--
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
--

---
PDF下载：
-->