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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Kelly Capital Growth Investment Strategy (Example in R)

In the paper Response to Paul A Samuelson letters and papers onthe Kelly Capital Growth Investment Strategy pages 5 and 6 Dr William T Ziemba, gives a praticle example on Kelly Growth. I’m trying to ...