The Kelly Capital Growth Investment Criterion:Theory and Practice: 3 (World Scientific Handbook in Financial Economics Series) by MacLean Leonard C & Edward O Thorp & William T Ziemba

Author:MacLean, Leonard C & Edward O Thorp & William T Ziemba [MacLean, Leonard C]
Language: eng
Format: epub
Publisher: World Scientific Publishing Co Pte Ltd
Published: 2011-02-10T00:00:00+00:00

7.1.2 Benchmark as a portfolio of traded assets only

We assume that the benchmark follows a constant proportion strategy invested in a combination of traded assets. Its dynamics is given by the equation

where v is a m-element allocation vector satisfying the budget equation

In this setting, Corollary 3 can be expressed as:

Corollary 4. (Fund Separation Theorem with a Constant Proportion Benchmark (I)). Given a time t and a state vector X(t), any portfolio can be expressed as a linear combination of investments into a “mutual fund”, an index fund and a “long-short hedge fund” with respective risky asset allocations

Download

Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.