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Efficient Distribution of Investment Capital

Citace:
MAREK, P., ŤOUPAL, T., VÁVRA, F. Efficient Distribution of Investment Capital. Liberec, ČR, 2016.
Druh: PŘEDNÁŠKA, POSTER
Jazyk publikace: eng
Anglický název: Efficient Distribution of Investment Capital
Rok vydání: 2016
Místo konání: Liberec, ČR
Autoři: Ing. Patrice Marek Ph.D. , Ing. Tomáš Ťoupal Ph.D. , Doc. Ing. František Vávra CSc. ,
Abstrakt EN: 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.
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