Сравнение методов
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| Критерий Келли× | Оценка в условиях нейтральности к риску× | |
|---|---|---|
| Область | Количественные финансы | Количественные финансы |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1956 | 1979 |
| Автор метода≠ | John L. Kelly Jr. | John Harrison and David Kreps |
| Тип≠ | Bet Sizing Framework | Fundamental Principle |
| Основополагающий источник≠ | 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 ↗ |
| Другие названия | Kelly Formula, Optimal Bet Sizing | Risk-Neutral Measure, Q-Measure |
| Связанные≠ | 1 | 4 |
| Сводка≠ | 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. |
| ScholarGateНабор данных ↗ |
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