英文标题：
《Generalized framework for applying the Kelly criterion to stock markets》
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作者：
Tim Byrnes, Tristan Barnett
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最新提交年份：
2018
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英文摘要：
We develop a general framework for applying the Kelly criterion to stock markets. By supplying an arbitrary probability distribution modeling the future price movement of a set of stocks, the Kelly fraction for investing each stock can be calculated by inverting a matrix involving only first and second moments. The framework works for one or a portfolio of stocks and the Kelly fractions can be efficiently calculated. For a simple model of geometric Brownian motion of a single stock we show that our calculated Kelly fraction agrees with existing results. We demonstrate that the Kelly fractions can be calculated easily for other types of probabilities such as the Gaussian distribution and correlated multivariate assets.
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中文摘要：
我们开发了一个将凯利标准应用于股票市场的一般框架。通过提供一个任意概率分布模型来模拟一组股票的未来价格变动，可以通过反转只涉及一阶矩和二阶矩的矩阵来计算投资每只股票的凯利分数。该框架适用于一个或一个股票组合，可以有效地计算Kelly分数。对于单一股票的几何布朗运动的一个简单模型，我们表明我们计算的Kelly分数与现有结果一致。我们证明，对于其他类型的概率，如高斯分布和相关多元资产，可以很容易地计算Kelly分数。
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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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