Risk evasion and decision-making in dynamic investments

Taking into account the vital importance of investment risk evasion, this study focuses on avoidance of risk in a multiasset and multiperiod dynamic investment described by an accumulated wealth stochastic process. On the premise of risk evasion, the optimization of investment decision-making has been discussed in this paper. We first extended Kelly strategies and fractional Kelly strategies (FKS) to more general proportional Kelly strategies (PKS). Based on PKS, we defined standardized risk measure and growth rate measure for accumulated wealth process and induced the properties of the two measures related to PKS. The central concernment of this study is utilizing PKS to analyze the tradeoffs between the growth rate and the standardized risk level of dynamic investments. We obtained the set of efficient growth-risk frontier and the set of efficient growth-risk strategies, respectively. We also studied the relations between Kelly strategy and PKS and analysed the impact of logarithmic target accumulated return on PKS decision making.