Fixed upper quantiles of terminal wealth for finite-horizon repeated Kelly wagering are positively homogeneous piecewise-monomial functions on the wealth simplex that reduce exactly to shadow-Kelly objectives indexed by multinomial count chambers.
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Risk constraints preserve the active support of CRRA Kelly bets in the overround regime, allowing the log case to be solved via one-dimensional calibration.
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Exact Finite-Horizon Quantile Kelly for Repeated Multi-Outcome Events
Fixed upper quantiles of terminal wealth for finite-horizon repeated Kelly wagering are positively homogeneous piecewise-monomial functions on the wealth simplex that reduce exactly to shadow-Kelly objectives indexed by multinomial count chambers.
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Risk-Constrained Kelly for Mutually Exclusive Outcomes: CRRA Support Invariance and Logarithmic One-Dimensional Calibration
Risk constraints preserve the active support of CRRA Kelly bets in the overround regime, allowing the log case to be solved via one-dimensional calibration.