Speaker: 

Greg Zitelli

Institution: 

UC Irvine

Time: 

Wednesday, February 24, 2016 - 4:00pm to 5:30pm

Host: 

Location: 

Rowland Hall 340P

The growth-optimal (Kelly) criterion almost surely leads to more capital in the long run and reaches levels of capital asymptotically faster than alternative strategies, but such outperformance may not be realized with high probability for an exceptionally long time. We will consider strategies based on alternative utilities that emphasize the probability of exceeding an underperforming benchmark faster than Kelly.