Essays about: "Kelly Criterio"

Found 1 essay containing the words Kelly Criterio.

  1. 1. Application of the Kelly Criterion on a Self-Financing Trading Portfolio -An empirical study on the Swedish stock market from 2005-2015

    University essay from

    Author : Oskar Markusson; Emil Ohlsson; [2017-07-05]
    Keywords : Kelly Strategy; Portfolio Money Management; Abnormal Returns; Swedish Equities; Geometric Mean Maximization; Kelly Criterio;

    Abstract : A Kelly strategy theoretically optimizes the growth rate of investor’s capital. This paper evaluates its usefulness on the Swedish stock market between 2005 and 2015 by comparing returns to that of common portfolio strategies and a market index. READ MORE