Growth Versus Security in Dynamic Investment Analysis
研究离散时间下投资者如何在追求财富增长（如凯利准则）与确保安全（如最小化破产概率）之间取得平衡，推导了多种增长与安全指标的计算公式，并利用分数凯利策略实现两者的完整权衡。
This paper concerns the problem of optimal dynamic choice in discrete time for an investor. In each period the investor is faced with one or more risky investments. The maximization of the expected logarithm of the period by period wealth, referred to as the Kelly criterion, is a very desirable investment procedure. It has many attractive properties, such as maximizing the asymptotic rate of growth of the investor's fortune. On the other hand, instead of focusing on maximal growth, one can develop strategies based on maximum security. For example, one can minimize the ruin probability subject to making a positive return or compute a confidence level of increasing the investor's initial fortune to a given final wealth goal. This paper is concerned with methods to combine these two approaches. We derive computational formulas for a variety of growth and security measures. Utilizing fractional Kelly strategies, we can develop a complete tradeoff of growth versus security. The theory is applicable to favorable investment situations such as blackjack, horseracing, lotto games, index and commodity futures and options trading. The results provide insight into how one should properly invest in these situations.