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...
| Auteurs principaux: | , |
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| Format: | Article |
| Langue: | English |
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MDPI AG
2023-01-01
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| Collection: | Entropy |
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| Accès en ligne: | https://www.mdpi.com/1099-4300/25/2/202 |