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Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios
Liu, Zhenya, Zhou, Weifeng, Wang, Shixuan, Cao, RuanminYear:
2017
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2933694
File:
PDF, 2.60 MB
english, 2017