4057金融与交易困难derivationmedium

Quadratic Kelly Growth Score 2

题目

A desk fixes the first Kelly weight at 0.4. Asset 2 has mu_2 = 0.02, variance v_2 = 0.25, and covariance 0.05 with asset 1. Under the quadratic Kelly approximation, what second weight maximizes growth given the fixed first weight?

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