• Dec 31, 2019 News!Welcome Assoc. Prof. David E. Breen from USA to join the Editorial board of IJMO.   [Click]
  • Jun 18, 2020 News!Vol 9, No 1- Vol 9, No 3 has been indexed by IET(Inspec)   [Click]
  • Mar 24, 2021 News!Vol. 11, No. 2 has been published with online version.   [Click]
General Information
Editor-in-chief
Prof. Adrian Olaru
University Politehnica of Bucharest, Romania
I'm happy to take on the position of editor in chief of IJMO. It's a journal that shows promise of becoming a recognized journal in the area of modelling and optimization. I'll work together with the editors to help it progress.
IJMO 2021 Vol.11(2): 42-46 ISSN: 2010-3697
DOI: 10.7763/IJMO.2021.V11.775

On Calculating Method of the Kelly Criterion for Financial Investment in Single Risky Asset with Various Distributions of Returns

Naohiro Yoshida
Abstract—In this paper, the expectation of the reciprocal of first-degree polynomials of non-negative valued random variables is calculated. This is motivated to compute the Kelly criterion, which is the optimal solution of the maximization of the expected logarithm of the investment return. As soon as the expectation of the reciprocal of first-degree polynomials of asset returns is calculated, which is our main interest, the Kelly criterion can be obtained by using the ordinary optimization technique or applying the appropriate algorithm.

Index Terms—Expectation, probability, investment strategy, Kelly criterion.

N. Yoshida is with the Faculty of Science and Engineering, Chuo University, Tokyo, 112-8551 Japan (e-mail: kelly-oper.calc.05t@g.chuo-u.ac.jp).

[PDF]

Cite:Naohiro Yoshida, "On Calculating Method of the Kelly Criterion for Financial Investment in Single Risky Asset with Various Distributions of Returns," International Journal of Modeling and Optimization vol. 11, no. 2, pp. 42-46, 2021.

Copyright © 2021 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

Copyright © 2008-2021. International Journal of Modeling and Optimization. All rights reserved.
E-mail: ijmo@iacsitp.com