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

Keyphrases

• Regime Switching 100%
• Downside Risk Management 100%
• Risk Estimation 50%
• High Probability 50%
• Model Features 50%
• Risky Assets 50%
• Capital Growth 50%
• Lognormal 50%
• Risk Control 50%
• Kelly Strategy 50%
• Growth Strategy 50%
• Optimal Strategy 50%
• Long-term Growth 50%
• Decision Risk 50%
• Convex Function 50%
• Asset Prices 50%
• Financial Markets 50%
• Multi-asset 50%
• Investment Capital 50%
• Stochastic Regime 50%
• Short-run Risk 50%
• Maximum Growth 50%
• Markovian 50%
• Sector Exchange Traded Funds 50%
• Wealth Threshold 50%

Mathematics

• Shortfall 100%
• Probability Theory 50%
• Asymptotics 50%
• Stochastics 50%
• Risky Asset 50%
• Asset Price 50%
• Desirable Property 50%
• Convex Function 50%
• Optimal Strategy 50%

Economics, Econometrics and Finance

• Risk Control 100%
• Regime Switching 100%
• Wealth 66%
• Financial Market 33%
• Index Derivative 33%