4056金融与交易困难derivationmedium

Quadratic Kelly Growth Score 1

题目

A desk fixes the first Kelly weight at 0.25. Asset 2 has mu_2 = 0.03, variance v_2 = 0.16, and covariance -0.04 with asset 1. Under the quadratic Kelly approximation, what second weight maximizes growth given the fixed first weight?

解题计时

0:00

提交作答时记录，用于后续平均用时统计。

你的答案

数值

支持题库 schema 允许的整数、小数、分数或四则表达式。