q-fin updates on arXiv.org
Tue, 11 Feb 2020 06:01:32 GMT language
The original Kelly criterion provides a strategy to maximize the long-term
growth of winnings in a sequence of simple Bernoulli bets with an edge, that
is, when the expected return on each bet is positive. The objective of this
work is to consider more general models of returns and the continuous time, or
high frequency, limits of those models.