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Moskowitz, T.J., Ooi, Y.H. and Pedersen, L.H. (2012) Time Series Momentum. Journal of Financial Economics, 104, 228-250.
https://doi.org/10.1016/j.jfineco.2011.11.003

has been cited by the following article:

• TITLE: Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios

  AUTHORS: Ruanmin Cao, Zhenya Liu, Shixuan Wang, Weifeng Zhou

  KEYWORDS: Kelly, Low Correlation, Portfolio

  JOURNAL NAME: Theoretical Economics Letters, Vol.7 No.5, August 15, 2017

  ABSTRACT: We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the Kelly criterion. The objective function is constructed and solved. We show the superiority of our method in relatively low correlated portfolios, relative to the fractional Kelly and full Kelly strategies. Our strategy reduces the short-term risk without sacrificing the growth rate to invest more in risk-free assets. Simulation results and Chinese commodity future empirical results strongly support our method.