A Rational Risk Policy? Why Path Dependence Matters

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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	Hans Geboers, Benoît Depaire
स्वरूप:	लेख
भाषा:	English
प्रकाशित:	MDPI AG 2023-01-01
श्रृंखला:	Entropy
विषय:	path dependence optimal leverage risk management Kelly criterion
ऑनलाइन पहुंच:	https://www.mdpi.com/1099-4300/25/2/202

समान संसाधन

Information Theory, Kelly Betting, Risk, Reward, Commission, and Omission: An Example Problem in Breast Cancer
द्वारा: Leslie W. Dalton
प्रकाशित: (2014-01-01)

Optimal Risk Budgeting under a Finite Investment Horizon
द्वारा: Marcos López de Prado, और अन्य
प्रकाशित: (2019-08-01)

Analyzing Sequential Betting with a Kelly-Inspired Convective-Diffusion Equation
द्वारा: Darrell Velegol, और अन्य
प्रकाशित: (2024-07-01)

Kelly Criterion Extension: Advanced Gambling Strategy
द्वारा: Song-Kyoo (Amang) Kim
प्रकाशित: (2024-06-01)

Expectation and Optimal Allocations in Existential Contests of Finite, Heavy-Tail-Distributed Outcomes
द्वारा: Ralph Vince
प्रकाशित: (2023-12-01)

A Novel Approach of Option Portfolio Construction Using the Kelly Criterion
द्वारा: Mu-En Wu, और अन्य
प्रकाशित: (2018-01-01)

A Quantum Double-or-Nothing Game: An Application of the Kelly Criterion to Spins
द्वारा: Bernhard K. Meister, और अन्य
प्रकाशित: (2024-01-01)

Practical Implementation of the Kelly Criterion: Optimal Growth Rate, Number of Trades, and Rebalancing Frequency for Equity Portfolios
द्वारा: Andrea Carta, और अन्य
प्रकाशित: (2020-10-01)

Portfolio Optimization for Binary Options Based on Relative Entropy
द्वारा: Peter Joseph Mercurio, और अन्य
प्रकाशित: (2020-07-01)

Game-Theoretic Optimal Portfolios for Jump Diffusions
द्वारा: Alex Garivaltis
प्रकाशित: (2019-02-01)

Path-dependency and policy learning in the Dutch delta: toward more resilient flood risk management in the Netherlands?
द्वारा: Arwin van Buuren, और अन्य
प्रकाशित: (2016-12-01)

Invoice Discounting Using Kelly Criterion by Automated Market Makers-like Implementations
द्वारा: Peplluis R. Esteva, और अन्य
प्रकाशित: (2023-03-01)

As a Chinese researcher in Belgium: Path dependence or path-breaking?
द्वारा: Fan Xiao

Institutional structure of the Russian national innovative system: path dependence - effect
द्वारा: E. V. Kamko, और अन्य
प्रकाशित: (2018-03-01)

Smectite in mangrove soils of the State of São Paulo, Brazil Esmectitas em solos de mangue no Estado de São Paulo
द्वारा: Valdomiro Severino de Souza-Júnior, और अन्य
प्रकाशित: (2010-02-01)

A review of economic risking methods commonly used in hydrocarbon exploration
द्वारा: I. Lerche
प्रकाशित: (2018-12-01)

Bridging the gap: assessing the state of federal corruption law after Kelly v. United States
द्वारा: M. J. Morgan
प्रकाशित: (2021-09-01)

IN MEMORIAM DR. CAROL S. KELLY
द्वारा: Bettina Terp, और अन्य
प्रकाशित: (2018-03-01)

Temporal legacies of coal mining in the West Coast, New Zealand: path-dependency or path-creation?
द्वारा: Sean Connelly, और अन्य
प्रकाशित: (2025-01-01)

An Optimization Coverage Strategy for Wireless Sensor Network Nodes Based on Path Loss and False Alarm Probability
द्वारा: Jianing Guo, और अन्य
प्रकाशित: (2025-01-01)

Why Is Civil Conflict Path Dependent? A Cultural Explanation
द्वारा: Atin Basuchoudhary
प्रकाशित: (2021-12-01)

TOURISM AS A «POST-STAPLES» DIVERSIFICATION FOR RUSSIAN REMOTE RESOURCE-DEPENDENT REGIONS: A NEW PATH FOR KUZBASS
द्वारा: Liliya G. Kiriyanova, और अन्य
प्रकाशित: (2019-10-01)

Brexit na perspectiva do Path Dependency
द्वारा: Giorgio Romano Schutte
प्रकाशित: (2017-12-01)

Getting off the Track to Found – The Influence of Path Dependence on the Entrepreneurial Process
द्वारा: Jörg Freiling
प्रकाशित: (2015-12-01)

The More You Know, the More You Can Grow: An Information Theoretic Approach to Growth in the Information Age
द्वारा: Martin Hilbert
प्रकाशित: (2017-02-01)

Path – Dependence and European Fisheries Management
द्वारा: Federico Martín Palmero, और अन्य
प्रकाशित: (2018-12-01)

THE FINANCIAL PERFORMANCE – RISK CORRELATION OF COMPANIES LISTED ON THE BUCHAREST STOCK EXCHANGE
द्वारा: Andreea Claudia Chiurtu
प्रकाशित: (2020-08-01)

A Discrete-Time Approach to Evaluate Path-Dependent Derivatives in a Regime-Switching Risk Model
द्वारा: Emilio Russo
प्रकाशित: (2020-01-01)

Path-dependence, expectativas e regulação econômica: elementos de análise a partir de uma perspectiva pós-keynesiana Path-dependence, expectations and economic regulation: elements of analysis from a posst-keynesian perspective
द्वारा: Ricardo Ramalhete Moreira, और अन्य
प्रकाशित: (2006-12-01)

Institutional integration, health and social care policy and social welfare: an application of the ‘path dependence’ theory in France
द्वारा: Hélène Trouvé, और अन्य
प्रकाशित: (2009-12-01)

Institutional integration, health and social care policy and social welfare: an application of the ‘path dependence’ theory in France
द्वारा: Hélène Trouvé, और अन्य
प्रकाशित: (2009-12-01)

A Path Dependence na inserção internacional da Guiana
द्वारा: Marcelino Teixeira Lisboa, और अन्य
प्रकाशित: (2017-04-01)

On path-dependent SDEs involving distributional drifts
द्वारा: Alberto Ohashi, और अन्य
प्रकाशित: (2022-01-01)

Policy path dependency in a less developed region: The evolution of regional innovation policy in Wales (UK)
द्वारा: Dylan Henderson
प्रकाशित: (2019-09-01)

Bloodlines /
द्वारा: 466470 Burke, Jan
प्रकाशित: (2005)

Sens i celowość ofiary z siebie. Utajony dyskurs „Donniego Darko”
द्वारा: Grzegorz Nadgrodkiewicz
प्रकाशित: (2013-03-01)

Biosignatures Associated with Freshwater Microbialites
द्वारा: Richard Allen White, और अन्य
प्रकाशित: (2020-05-01)

Na peryferiach Stanów Zjednoczonych. Obrazy stanu Oregon w wybranych filmach Kelly Reichardt
द्वारा: Paweł Biliński
प्रकाशित: (2023-06-01)

COMPLEX BUSINESS SOLUTIONS ON RISK ASSESSMENT AND MANAGEMENT IN RETAIL
द्वारा: V. A. Grosul, और अन्य
प्रकाशित: (2019-03-01)

Le détournement du genre policier sur la scène anglaise contemporaine : One Minute (2003) de Simon Stephens et Orphans (2009) de Dennis Kelly
द्वारा: Aloysia Rousseau
प्रकाशित: (2015-04-01)