【摘 要】
：
There exists a stream of literature that exploits the concept of a growth opti mal portfolio (GOP), originally developed by Kelly (1956) and later extended
【机 构】
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NationalUniversityofDefenseTechnology
【出 处】
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IMS-China International Conference on Statistics and Probabi
论文部分内容阅读
There exists a stream of literature that exploits the concept of a growth opti mal portfolio (GOP), originally developed by Kelly (1956) and later extended and discussed.To eliminate complications, within this paper, the GOP is discussed in finite discrete market with two primary assets.Firstly, the optimal proportion for the GOP depending on the properties of the primary assets is considered.Secondly, given the concrete expressions of the primary assets, the explicit theoretical values are done combined the foregoing discusses.Meanwhile, consulted two figures, the economic meanings of the changes in the optimal proportion for the GOP with the relative changes of the parameters in risky asset arc analyzed intuitively.Finally, the anterior results are analyzed again from mathematical points of view, at the same time the conclusions of this paper are made with practically and clearly mathematic language.
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