Kelbert, M.; Stuhl, I.; Suhov, Y. Weighted entropy and optimal portfolios for risk-averse Kelly investments. (English) Zbl 1442.91087 Aequationes Math. 92, No. 1, 165-200 (2018). MSC: 91G10 60A10 PDF BibTeX XML Cite \textit{M. Kelbert} et al., Aequationes Math. 92, No. 1, 165--200 (2018; Zbl 1442.91087) Full Text: DOI Link
Bell, Robert; Cover, Thomas M. Game-theoretic optimal portfolios. (English) Zbl 0649.90014 Manage. Sci. 34, No. 6, 724-752 (1988). MSC: 91B28 91A40 PDF BibTeX XML Cite \textit{R. Bell} and \textit{T. M. Cover}, Manage. Sci. 34, No. 6, 724--752 (1988; Zbl 0649.90014) Full Text: DOI
Cover, Thomas M. An algorithm for maximizing expected log investment return. (English) Zbl 0541.90007 IEEE Trans. Inf. Theory 30, 369-373 (1984). MSC: 91B28 90C90 90C25 PDF BibTeX XML Cite \textit{T. M. Cover}, IEEE Trans. Inf. Theory 30, 369--373 (1984; Zbl 0541.90007) Full Text: DOI