Compară metode
Examinează metodele selectate una lângă alta; rândurile care diferă sunt evidențiate.
| Kelly Criterion× | Evaluarea neutră față de risc× | |
|---|---|---|
| Domeniu | Finanțe cantitative | Finanțe cantitative |
| Familie | Regression model | Regression model |
| Anul apariției≠ | 1956 | 1979 |
| Autorul original≠ | John L. Kelly Jr. | John Harrison and David Kreps |
| Tip≠ | Bet Sizing Framework | Fundamental Principle |
| Sursa seminală≠ | 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 ↗ |
| Denumiri alternative | Kelly Formula, Optimal Bet Sizing | Risk-Neutral Measure, Q-Measure |
| Înrudite≠ | 1 | 4 |
| Rezumat≠ | 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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