摘要翻译：
本文在E.O.工作的基础上，研究了连续时间框架下的Kelly判据。索普和其他人。在一般情况下证明了最优策略的存在性，并找到了相应的最优财富过程。对于满足一些简单条件的一组价格过程，给出了最优投资组合的一个简单计算公式。研究了多个Ornstein-Uhlenbeck过程控制的资产最优投资策略的性质。本文最后简短地讨论了这些思想对金融市场的影响。
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英文标题：
《Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes》
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作者：
Yingdong Lv, Bernhard K. Meister
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the optimal portfolio for a set of price processes satisfying some simple conditions. Properties of the optimal investment strategy for assets governed by multiple Ornstein-Uhlenbeck processes are studied. The paper ends with a short discussion of the implications of these ideas for financial markets.
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PDF链接：
https://arxiv.org/pdf/0903.2910