# Absolute Dollar Form Of Kelly Criterion

Is there a absolute dollar form of the Kelly equation $f=\frac{m}{s^2}$? (i.e. one that does not use percent returns).

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Well, the first formula on the wiki page gives you a straight forward answer in absolute terms (you do know your bankroll so its pretty much absolute):

http://en.wikipedia.org/wiki/Kelly_criterion

Simple as that, sometimes it does not pay but only causes headaches to overcomplicate things :-)

Happy Thanksgiving!!!

Update as requested by OP:

http://www.math.washington.edu/~morrow/336_10/papers/jane.pdf

and here an application using R

http://braverock.com/brian/R/PerformanceAnalytics/html/KellyRatio.html

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That formula seems to be a specific case for binary outcomes, quote: "For simple bets with two outcomes, one involving losing the entire amount bet, and the other involving winning the bet amount multiplied by the pay-off odds". I was more specifically wondering if there was an absolute dollar form in the continuous case. –  Craig Nov 23 '12 at 19:23
Added more references for the continuous case and specifically applied to financial assets. –  Matt Wolf Nov 25 '12 at 10:05