The kelly-criterion is a risk management strategy (or wagering system) providing an optimal risk apportionment system that relies on having 2 calculated probabilities.

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Questions on Kelly criterion

I am new to asset allocation problems and have some concerns regarding the derivation of the continuous-time Kelly criterion (i.e. not the original version destined to discrete sports betting/Casino). ...
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How to apply Kelly criterion to a portfolio made by a stock plus a option?

First of all, assuming a Gaussian, Markowitz, well behaved world. Extensions for non-well behaved world will be welcomed. I know that by a portfolio made by only by one stock (and a risk free bond) I ...
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Implementation of Kelly in multivariate case using modeled distributions

I am exploring how to determine an "optimal" portfolio in the context of real life data and systems. Specifically, I want to calculate a Kelly Optimal Portfolio (see this paper, especially section 8.4 ...