Research progress on the Kelly game

AbstractThe growth-optimal portfolio optimization strategy has been investigated in many ways since firstly pioneered by Kelly. This paper firstly introduces the research progress of this so-called Kelly game. Based on the original Kelly game the optimality is shortly proofed. Especially generalized research is introduced such as the relation between M–V approach and the Kelly approach, the question of diversification, the influence of transaction fees and limited information, etc. Then the application of Kelly strategy is discussed with some conclusions