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...

書目詳細資料
Main Authors:	Hans Geboers, Benoît Depaire
格式:	Article
語言:	English
出版:	MDPI AG 2023-01-01
叢編:	Entropy
主題:	path dependence optimal leverage risk management Kelly criterion
在線閱讀:	https://www.mdpi.com/1099-4300/25/2/202

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