A Rational Risk Policy? Why Path Dependence Matters

The Kelly criterion determines optimal bet sizes that maximize long-term growth. While growth is definitely an important consideration, the focus on growth alone can lead to significant drawdowns, leading to psychological discomfort for a risk-taker. Path-dependent risk measures, such as drawdown ri...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron: Hans Geboers, Benoît Depaire
Fformat: Erthygl
Iaith:English
Cyhoeddwyd: MDPI AG 2023-01-01
Cyfres:Entropy
Pynciau:
Mynediad Ar-lein:https://www.mdpi.com/1099-4300/25/2/202

Eitemau Tebyg