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 ...
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 ...
For simple bets with two outcomes, one involving losing the entire amount bet, and the other involving winning the bet amount multiplied by the payoff odds, the Kelly bet is: f* is the fraction of ...