Kelly investing with downside risk control in a regime-switching market

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@article{d59de92d6abb4b44b859e799a339ee60,

title = "Kelly investing with downside risk control in a regime-switching market",

author = "Leonard MacLean and Yonggan Zhao",

note = "Publisher Copyright: {\textcopyright} 2021 Informa UK Limited, trading as Taylor & Francis Group.",

year = "2022",

doi = "10.1080/14697688.2021.1993617",

language = "English",

volume = "22",

pages = "75--94",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Routledge",

number = "1",

}

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T1 - Kelly investing with downside risk control in a regime-switching market

AU - MacLean, Leonard

AU - Zhao, Yonggan

PY - 2022

Y1 - 2022

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U2 - 10.1080/14697688.2021.1993617

DO - 10.1080/14697688.2021.1993617

M3 - Article

AN - SCOPUS:85120045393

SN - 1469-7688

VL - 22

SP - 75

EP - 94

JO - Quantitative Finance

JF - Quantitative Finance

IS - 1

ER -