标题： 凯利准则在Ornstein-Uhlenbeck过程中的应用 显示英文标题

标题： Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes

摘要： 本文在 E.O. Thorp 及其他人的工作基础上，在连续时间框架下研究了凯利准则。证明了一般情况下存在最优策略，并找到了相应的最优财富过程。对于满足某些简单条件的一组价格过程，给出了计算最优投资组合的简单公式。研究了受多个 Ornstein-Uhlenbeck 过程支配的资产最优投资策略的性质。文章最后简要讨论了这些思想对金融市场的影响。 显示英文摘要

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.