论文标题
计算大胆：通过流动性不足的资产优化财务决策
Calculated Boldness: Optimizing Financial Decisions with Illiquid Assets
论文作者
论文摘要
我们认为，有外部资本的人玩的机会游戏无法应用于游戏，并确定这如何影响风险调整后的最佳投注。具体来说，我们专注于凯利优化作为度量标准，优化了总资本的预期对数，包括游戏中的资本和外部资本。对于具有多个回合的游戏，我们通过动态编程来确定最佳策略，并通过WKB方法构建近似值。该策略可以用短期公用事业功能来描述，并规避风险，具体取决于游戏中的数量与外部资金的比率。因此，理性的球员的行为在适应凯利策略的保守性比赛之间有所不同，因为他们能够投入更大的总财富和极为激进的游戏，而当他们的资本中大部分的大部分被锁定时，这会最大程度地提高线性期望。因为您一直期望将来的生产力作为外部资源来解释，所以这与传统的智慧背叛是一个毁灭性的主张相反。
We consider games of chance played by someone with external capital that cannot be applied to the game and determine how this affects risk-adjusted optimal betting. Specifically, we focus on Kelly optimization as a metric, optimizing the expected logarithm of total capital including both capital in play and the external capital. For games with multiple rounds, we determine the optimal strategy through dynamic programming and construct a close approximation through the WKB method. The strategy can be described in terms of short-term utility functions, with risk aversion depending on the ratio of the amount in the game to the external money. Thus, a rational player's behavior varies between conservative play that approaches Kelly strategy as they are able to invest a larger fraction of total wealth and extremely aggressive play that maximizes linear expectation when a larger portion of their capital is locked away. Because you always have expected future productivity to account for as external resources, this goes counter to the conventional wisdom that super-Kelly betting is a ruinous proposition.
