विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| केली मानदंड× | जोखिम-उदासीन मूल्यांकन× | |
|---|---|---|
| क्षेत्र | मात्रात्मक वित्त | मात्रात्मक वित्त |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 1956 | 1979 |
| प्रवर्तक≠ | John L. Kelly Jr. | John Harrison and David Kreps |
| प्रकार≠ | Bet Sizing Framework | Fundamental Principle |
| मौलिक स्रोत≠ | 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 ↗ |
| उपनाम | Kelly Formula, Optimal Bet Sizing | Risk-Neutral Measure, Q-Measure |
| संबंधित≠ | 1 | 4 |
| सारांश≠ | 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. |
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