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Awareness of crash risk improves Kelly strategies in simulated financial time series. (2020). Kreuser, Jerome ; Gerlach, Jan-Christian ; Sornette, Didier.
In: Papers.
RePEc:arx:papers:2004.09368.

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  13. Kreuser, Jérôme and Didier Sornette (2018). Super-Exponential RE Bubble Model with Efficient Crashes, The European Journal of Finance 25 (4), DOI:10.1080/1351847X.2018.1521342, see http://riskontroller.com/ and https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3064668 Leiss, Matthias, Heinrich H. Nax and Didier Sornette, 2015. Super-Exponential Growth Expectations and the Global Financial Crisis, Journal of Economic Dynamics and Control 55, 1-13.

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  15. MacLean, L. C.; Edward O. Thorp; and W.T. Ziemba. 2010c. “Good and bad properties of the Kelly criterion”, in The Kelly Capital Growth, Investment Criterion: Theory and Practice, World Scientific Handbook in Financial Economic Series, World Scientific Publishing C. Pte. Ltd., Singapore, https://doi.org/10.1142/9789814293501_0039 .
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  16. MacLean, L.C. and William T. Ziemba. 2010a. “Using the Kelly criterion for investing”, Stochastic Optimization Methods in Finance and Energy, Volume 163 of the series International Series in Operations Research & Management Science pp 3-20, Springer, 25 July 2011.
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  17. Malevergne Yannick and Didier Sornette, 2001. Multi-dimensional Rational Bubbles and fat tails, Quantitative Finance 1, 533-54.

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  20. Malevergne, Yannick, Vladilen F. Pisarenko and Didier Sornette, 2005. Empirical Distributions of LogReturns: between the Stretched Exponential and the Power Law? Quantitative Finance 5 (4), 379401.

  21. Merton, Robert C. 1971. Optimum Consumption and Portfolio Rules in a Continuous-time Model, Journal of Economic Theory, 3, December, pages 373-413, Academic Press, Inc.

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  28. Sornette, Didier, 2003, Why Stock Markets Crash: Critical Events in Complex Financial Systems (Princeton, NJ: Princeton University Press).
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  29. Wesselhöfft, Niels. 2016. “The Kelly Criterion: Implementation, Simulation and Backtest”, Master Thesis, Humboldt-Universität zu Berlin.
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  30. Yan, Wanfeng; Reda Rebib; Ryan Woodard; Didier Sornette. 2012. Detection of Crashes and Rebounds in Major Equity Markets, International Journal of Portfolio Analysis & Management (IJPAM) 1(1), 59-79.

  31. Yan, Wanfeng; Ryan Woodard and Didier Sornette. 2010. Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration, Quantitative Finance 14 (7), 1273-1282, 2014 Ziemba, William T. 2016. A response to Professor Paul Samuelson’s objections to Kelly capital growth investing, Sysetemic Risk Centre Discussion Paper No 52, The London School of Economics and Political Science.

  32. Ziemba, William T. 2003. The Stochastic Programming Approach to Asset, Liability, and Wealth Management, The Research Foundation of the Association for Investment Management and Research.
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