Betting on your beliefs… to the death: a computational study of the Kelly Rule in stochastic markets

• Autores: González Bernaldo de Quirós, Bautista
• Año de publicación: 2025
• Idioma: inglés
• Tipo de recurso: tesis de grado
• Colaborador/a o director/a de tesis: von Kesselstatt, Maximiliano Clemens Theodor
• Institución: Universidad de San Andrés

Fil: González Bernaldo de Quirós, Bautista. Universidad de San Andrés. Departamento de Economía; Argentina.
This paper analyzes an evolutionary game-theory model in a finite-period, three-asset market-clearing economy, to evaluate the optimality of different survival strategies. I implement a Python-based computational simulation to evaluate the robustness of the results found in the previous literature. I present the framework, translate it into a simulation environment, and assess the performance of the survival strategy under various scenarios. The results indicate that the Kelly rule, the strategy that maximizes the asymptotic rate of capital growth, asymptotically guarantees survival regardless of other players’ strategies or the tested market environments.