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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2020.1
- 수록면
- 101 - 108 (8page)
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This paper is concerned with three issues associated with the applicability of the Kelly criterion to engineering investment projects instead of financial investment ones. It is believed that the criterion involves a high potential of being applied to the economic analysis of the engineering investment projects. From this perspective, this paper addresses three relevant issues: i) a violation of an existing popular stochastic dominance theorem, ii) the Kelly criterion with a time value of money, and iii) its optionality with a binomial lattice option pricing model. The presentation regarding the issues is primarily relied on as part of the author’s research work, with the aid of previously existing literature.
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참고문헌 (23)
참고문헌 신청
J. L. Kelly / 1956 / A new interpretation of information rate / The Bell System Technology Journal 35:917~926
C. E. Shannon / 1948 / A mathematical theory of communication / The Bell System Technology Journal 27:379~423
W. Poundstone / 2006 / Fortune’s Formula: The Untold Story of the Scientific Betting System that beat the casino and Wall Street / Hill and Wang
E. O. Thorp / 1997 / The Kelly criterion in blackjack, sports betting, and the stock market / Proc. of 10th Int. Conf. on gambling and risk taking
E. O. Thorp / 1971 / Portfolio choice and the Kelly criterion / Bus. and Eco. Stat. Sec. of Proc. of the Amer. Stat Ass :215~224
C. E. Shannon / 1948 / A mathematical theory of communication / The Bell System Technology Journal 27:379~423
W. Poundstone / 2006 / Fortune’s Formula: The Untold Story of the Scientific Betting System that beat the casino and Wall Street / Hill and Wang
E. O. Thorp / 1997 / The Kelly criterion in blackjack, sports betting, and the stock market / Proc. of 10th Int. Conf. on gambling and risk taking
E. O. Thorp / 1971 / Portfolio choice and the Kelly criterion / Bus. and Eco. Stat. Sec. of Proc. of the Amer. Stat Ass :215~224
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