Comparar métodos
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| Criterio de Kelly× | Valoración neutral al riesgo× | |
|---|---|---|
| Campo | Finanzas cuantitativas | Finanzas cuantitativas |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1956 | 1979 |
| Autor original≠ | John L. Kelly Jr. | John Harrison and David Kreps |
| Tipo≠ | Bet Sizing Framework | Fundamental Principle |
| Fuente seminal≠ | Kelly, J. L. (1956). A new interpretation of information rate. Bell System Technical Journal, 35(4), 917-926. DOI ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Alias | Kelly Formula, Optimal Bet Sizing | Risk-Neutral Measure, Q-Measure |
| Relacionados≠ | 1 | 4 |
| Resumen≠ | The Kelly Criterion (1956) is a formula for optimal bet sizing that maximizes the long-run logarithmic growth of wealth. It specifies the optimal fraction of capital to risk on each trade based on win probability and payoff ratio. The criterion has become foundational in quantitative trading, portfolio management, and behavioral economics. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
| ScholarGateConjunto de datos ↗ |
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