Asset Allocation and Rebalancing between CAPM and Kelly Criterion
碩士 === 國立交通大學 === 財務金融研究所 === 108 === This research will explore the difference between return rate of portfolios found by Kelly criterion and the efficient frontier of CAPM. Our research assumes that the model of stock price follows geometric Brownian motion, and the returns of Kelly portfolio and...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/d8b2yt |