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Paper / 2025SMQ / 26090460643022
Beating the Best Constant Rebalancing Portfolio in Long-Term Investment: A Generalization of the Kelly Criterion and Universal Learning Algorithm for Markets with Serial Dependence
Duy Khanh Lam
algorithms / optimizationResource overview

Beating the Best Constant Rebalancing Portfolio in Long-Term Investment: A Generalization of the Kelly Criterion and Universal Learning Algorithm for Markets with Serial Dependence

Paper2025

by Duy Khanh Lam

Tags
algorithmsoptimizationportfolio managementportfolio optimization

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Suggested foundations for portfolio construction and optimisation and numerical methods. Specialist prerequisites vary by paper.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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