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5898概率中等derivationmedium

Continuous Kelly for Normal Returns

题目

Each round you allocate a fraction ff of wealth to a position whose one-period return RR is approximately normal with small mean μ>0\mu>0 and variance σ2\sigma^2 (with μ2σ2\mu^2\ll\sigma^2), so post-round wealth is multiplied by 1+fR1+fR. Using a second-order expansion of the log, derive the growth-optimal fraction ff^*.

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