Efficient Multivariate Kelly Optimization Reveals Sigmoidal Scaling Laws

By Ruslan Tepelyan, Daniel Lam

Published 2026-04-29

Everscope rating

1904.1

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Integral Transform Method and Subproblem Decomposition. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2604.24723 · Paper rankings

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