A Novel Approach of Option Portfolio Construction Using the Kelly Criterion
Money management is one of the most important issues in financial trading. Many skills of money managements are based on the Kelly criterion, which is a theoretical optimization of bidding an optimal fraction for position sizing. However, there is still a large gap between the theory and the real tr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2018-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/8466940/ |