5898概率中等derivationmedium
Continuous Kelly for Normal Returns
题目
Each round you allocate a fraction of wealth to a position whose one-period return is approximately normal with small mean and variance (with ), so post-round wealth is multiplied by . Using a second-order expansion of the log, derive the growth-optimal fraction .
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