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.
Ernest K. Ryu
is a PhD candidate in the Institute for Computational and Mathematical Engineering at Stanford University in Stanford, CA.
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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Risk-Constrained Kelly Gambling
Enzo Busseti, Ernest K. Ryu, Stephen Boyd
The Journal of Investing Aug 2016, 25 (3) 118-134; DOI: 10.3905/joi.2016.25.3.118