Working paper series
The record, in the order it was written.
5 working papers on SSRN, 1 forthcoming, by Sergei Sukhov.
WP·2026·004
How Close Is Bayes GZ to the True Optimum?A Validated Two-Channel Decomposition of the Drawdown-Constrained Kelly Gap
Forthcoming · December 2026
WP·2026·006
Speed Limits for LiquidityQueues, Gates, and Runs in Semi-Liquid Funds
September 2026
WP·2026·005
Drawdown Mandates and Untradeable WealthAn Allocation Ceiling for Private Markets
August 2026
WP·2026·003
The Bayesian Grossman–Zhou RuleDrawdown-Constrained Kelly Betting with Parameter Uncertainty
June 2026
WP·2026·002
Dynamic De-Risking under Drawdown ConstraintsStructural Properties and Heuristic Rules for Kelly Betting
April 2026
WP·2026·001
Bayesian Kelly Criterion with Parameter UncertaintyA Robust Framework for Position Sizing Under Estimation Risk
March 2026