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

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dc.contributor.authorMarkusson, Oskar
dc.contributor.authorOhlsson, Emil
dc.contributor.departmentUniversity of Gothenburg/Department of Economics
dc.contributor.departmentGöteborgs universitet/Institutionen för nationalekonomi med statistik
dc.contributor.departmentUniversity of Gothenburg/Department of Business Administration
dc.contributor.departmentGöteborgs universitet/Företagsekonomiska institutionen
dc.date.accessioned2017-07-05T08:41:24Z
dc.date.available2017-07-05T08:41:24Z
dc.date.issued2017-07-05
dc.description.abstractA 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.sv
dc.identifier.urihttp://hdl.handle.net/2077/52960
dc.language.isoengsv
dc.relation.ispartofseries201707:44sv
dc.relation.ispartofseriesUppsatssv
dc.setspec.uppsokSocialBehaviourLaw
dc.subjectKelly Strategysv
dc.subjectPortfolio & Money Managementsv
dc.subjectAbnormal Returnssv
dc.subjectSwedish Equitiessv
dc.subjectGeometric Mean Maximizationsv
dc.subjectKelly Criteriosv
dc.titleApplication of the Kelly Criterion on a Self-Financing Trading Portfolio -An empirical study on the Swedish stock market from 2005-2015sv
dc.title.alternativeApplication of the Kelly Criterion on a Self-Financing Trading Portfolio -An empirical study on the Swedish stock market from 2005-2015sv
dc.typetext
dc.type.degreeStudent essay
dc.type.uppsokM2

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