Bayesian Kelly Criterion with Parameter Uncertainty: A Robust Framework for Position Sizing Under Estimation Risk

SSRN Electronic Journal 2026 Preprint Open access

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Authors: Sergei Sukhov
DOI: 10.2139/ssrn.6195358
Cited by: 0
References: 6

Fields of Study & Subjects

Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

Publication details

Journal / source
SSRN Electronic Journal
Publication date
1 January 2026
Language
EN
Document type
Preprint