4058金融与交易困难derivationmedium

Quadratic Kelly Growth Score 3

题目

A desk fixes the first Kelly weight at 0.3. Asset 2 has mu_2 = -0.01, variance v_2 = 0.09, and covariance -0.03 with asset 1. Under the quadratic Kelly approximation, what second weight maximizes growth given the fixed first weight?

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