the kelly-criterion is a risk management strategy(or wagering system) developed by the J.L. Kelly of Bell Labs. Kelly's formula, as it is also called, provides an optimal risk apportionment system that relies on having 2 calculated probabilities. Namelym the odds of an event occurring, and the ...
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Volatility pumping in practice
The fascinating thing about volatility pumping (or optimal growth portfolio, see e.g. here) is that here volatility is not the same as risk, rather it represents opportunity. Additionally it is a ...
