Risk-Constrained Kelly Gambling

Enzo Busseti; Ernest K. Ryu; Stephen Boyd

doi:10.3905/joi.2016.25.3.118

Article

Risk-Constrained Kelly Gambling

Enzo Busseti, Ernest K. Ryu and Stephen Boyd

The Journal of Investing Fall 2016, 25 (3) 118-134; DOI: https://doi.org/10.3905/joi.2016.25.3.118

Enzo Busseti

is a PhD candidate in the Department of Management Science and Engineering at Stanford University in Stanford, CA.

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For correspondence: ebusseti@stanford.edu

Ernest K. Ryu

is a PhD candidate in the Institute for Computational and Mathematical Engineering at Stanford University in Stanford, CA.

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For correspondence: eryu@stanford.edu

Stephen Boyd

is the Samsung Professor of Engineering, and Professor of Electrical Engineering in the Information Systems Laboratory at Stanford University in Stanford, CA.

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For correspondence: boyd@stanford.edu

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Vol. 25, Issue 3

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Risk-Constrained Kelly Gambling