Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws

Wesselhofft, N; Hardle, WK

Wesselhofft, N (corresponding author), Humboldt Univ, IRTG 1792,Dorotheenstr 1, D-10117 Berlin, Germany.

COMPUTATIONAL ECONOMICS, 2020; 55 (3): 801

Abstract

This paper provides a detailed framework for modeling portfolios, achieving the highest growth rate under risk constraints such as value at risk (VaR)......

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