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Application of the Kelly Criterion on a Self-Financing Trading Portfolio -An empirical study on the Swedish stock market from 2005-2015

Application of the Kelly Criterion on a Self-Financing Trading Portfolio -An empirical study on the Swedish stock market from 2005-2015

Sammanfattning
A Kelly strategy theoretically optimizes the growth rate of investor’s capital. This paper evaluates its usefulness on the Swedish stock market between 2005 and 2015 by comparing returns to that of common portfolio strategies and a market index. We conclude that the Kelly strategy produces returns around five times that of the market for the same period. After conducting robustness tests, the results are less convincing.
Examinationsnivå
Student essay
URL:
http://hdl.handle.net/2077/52960
Samlingar
  • Kandidatuppsatser i finansiell ekonomi
Fil(er)
Thesis frame (1.582Mb)
Datum
2017-07-05
Författare
Markusson, Oskar
Ohlsson, Emil
Nyckelord
Kelly Strategy
Portfolio & Money Management
Abnormal Returns
Swedish Equities
Geometric Mean Maximization
Kelly Criterio
Serie/rapportnr.
201707:44
Uppsats
Språk
eng
Metadata
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