Smart Portfolio Modeling Using the Kalman Filter Pattern and Kelly Functions

The purpose of this study is to present a model for executing smart financial portfolios using Kalman filter model and kelly functions. For this purpose, using the monthly data of 180 companies listed in Tehran Stock Exchange during the period 2013 to 2019, using the Kalman filter model and kelly functions, the Sharp ratio is improved and the intelligent method for trading based on momentum and capital algorithms Long-term stock listing was presented and the purpose of the study was examined.The results of the algorithms implementation confirm that the proposed structure of the intelligent model of kelly functions is better in terms of average efficiency and Sharp ratio than the quantitative investment algorithms and it is possible to use the general constellation in optimal allocation of resources to achieve more desirable results. Finally, the results indicated that the performance of the smart portfolio with the kelly functions algorithm is better than the momentum model and long-term investment.