Abstract

One of the fundamental problems of portfolio theory is how to rationally optimize the portfolio using diversification. In practice, maximizing the short term interest is not equivalent to maximizing the long term interest. Kelly’s criterion is considered to be the best strategy of maximizing profit in the long run. In this paper, we discussed the applications of Kelly’s criterion in various scenarios, including binomial cases, univariate stock, uncorrelated and correlated stocks. Different approaches were introduced to construct the model of stocks’ behavior. For the first time, we discussed the feasibility of extending Kelly’s criterion to option trading.

Library of Congress Subject Headings

Stocks--Mathematical models; Profit--Mathematical models

Publication Date

5-3-2017

Document Type

Thesis

Student Type

Graduate

Degree Name

Applied and Computational Mathematics (MS)

Department, Program, or Center

School of Mathematical Sciences (COS)

Advisor

Bernard Brooks

Advisor/Committee Member

James Marengo

Advisor/Committee Member

Zhijian Huang

Comments

Physical copy available from RIT's Wallace Library at HG4661 .X8 2017

Campus

RIT – Main Campus

Plan Codes

ACMTH-MS

Download

Share

COinS