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 relative low correlated portfolios, relatively to fractional Kelly and full Kelly strategies. Our strategy reduce the short-term risk without sacrificing growth rate to invest proportion in risk free assets. Simulation results and China commodity futures empirical results strongly support our method.
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