Efficient Distribution of Investment Capital

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F16%3A43929883" target="_blank" >RIV/49777513:23520/16:43929883 - isvavai.cz</a>

Výsledek na webu

<a href="http://mme2016.tul.cz/index.php?page=conferenceproceedings" target="_blank" >http://mme2016.tul.cz/index.php?page=conferenceproceedings</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Efficient Distribution of Investment Capital

Popis výsledku v původním jazyce

Kelly showed in his well-known paper that if a result of a bet or an investment is uncertain, it is not advisable to bet or invest the whole capital as this leads, with certainty, to bankruptcy. Instead of investing the whole capital Kelly proposed to invest a fraction of the capital. More on a proportional gambling, also known as Kelly gambling, was investigated by Cover and Thomas. Our paper uses principles of a log-optimal portfolio from both sources and an approximation of the main criteria is used instead. Doing this allows us effective statistical inference. Usual procedure is to maximize expected value of the logarithm of the capital after an investment. The obtained solution is not comfortable for use in real-life situations; therefore, we propose alternative approach where the logarithm is substituted by the second-order Taylor polynomial. Same as in the case of a log-optimal portfolio we can obtain trivial solution, i.e. to invest all or nothing but usually a fraction of the capital will be invested. This fraction is based on simple characteristics that can be easily estimated from existing data: expected value and variance.

Název v anglickém jazyce

Efficient Distribution of Investment Capital

Popis výsledku anglicky

Kelly showed in his well-known paper that if a result of a bet or an investment is uncertain, it is not advisable to bet or invest the whole capital as this leads, with certainty, to bankruptcy. Instead of investing the whole capital Kelly proposed to invest a fraction of the capital. More on a proportional gambling, also known as Kelly gambling, was investigated by Cover and Thomas. Our paper uses principles of a log-optimal portfolio from both sources and an approximation of the main criteria is used instead. Doing this allows us effective statistical inference. Usual procedure is to maximize expected value of the logarithm of the capital after an investment. The obtained solution is not comfortable for use in real-life situations; therefore, we propose alternative approach where the logarithm is substituted by the second-order Taylor polynomial. Same as in the case of a log-optimal portfolio we can obtain trivial solution, i.e. to invest all or nothing but usually a fraction of the capital will be invested. This fraction is based on simple characteristics that can be easily estimated from existing data: expected value and variance.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

34th International Conference Mathematical Methods in Economics, MME2016, Conference Proceedings

ISBN

978-80-7494-296-9

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

540-545

Název nakladatele

Technical University of Liberec

Místo vydání

Liberec

Místo konání akce

Liberec, ČR

Datum konání akce

6. 9. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000385239500093