Blar i NHH Brage på forfatter "Grødem, Erik"
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The Kelly Criterion : An empricial study of the growth optimal Kelly portfolio, backtested on the Oslo Stock Exchange
Endresen, Jon; Grødem, Erik (Master thesis, 2023)This study analyzes the performance of the growth optimal Kelly portfolio on the Norwegian stock market from February 2003 through December 2022. To measure the strategy’s alpha, we employ the Capital Asset Pricing Model, ...