Kelly’s Investment Strategy In M&A

In this paper,we discuss the Kelly strategy under circumstances of merger and acquisition.By using this strategy,we solve some problem faced by the value investor,especially when he or she invest in some Chinese company’s common stock which having A and H shares at the same time,and which encounter merger and acquisition.First,we introduce Kelly criterion.Next,value investment are introduced.Finally,basing on the value investment and using Kelly criterion,we obtain the optimal wealth growth model which can be used in the circumstances of merger and acquisition.