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Journal Articles Theoretical Economics Letters Year : 2017

Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios

Ruanmin Cao
  • Function : Author
Shixuan Wang
Weifeng Zhou
  • Function : Author

Dates and versions

hal-01794433 , version 1 (17-05-2018)

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Ruanmin Cao, Zhenya Liu, Shixuan Wang, Weifeng Zhou. Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios. Theoretical Economics Letters, In press, 07 (05), pp.1453 - 1472. ⟨10.4236/tel.2017.75098⟩. ⟨hal-01794433⟩
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