Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides)
44 Pages Posted: 29 Jun 2015
Date Written: June 28, 2015
Growth Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. How it is also known in practice GOP is too risky. We explain in this talk that the reason is in practice the investment horizon is finite and practitioners account for risk more explicitly. We develop risk adjusted growth portfolio and discuss how to implement. A full version of the paper is available in http://ssrn.com/abstract=2364092.
Keywords: Growth-optimal portfolio, risk management, Kelly Criterion, finite investment horizon, drawdown
JEL Classification: G10, G60, G70, C62, E60
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