Tagged Questions
8
votes
1answer
799 views
How to apply the Kelly criterion when expected return may be negative?
My concern is how to handle a negative value for the Kelly formula. Even when you have a system that has positive expectancy, you can (and usually will) sustain a number of losses, sometimes ...
9
votes
3answers
824 views
How to optimally allocate capital among trading strategies?
I'm trying to find an optimal way to allocate capital among trading strategies.
"Quantitative Trading" by Ernie Chan claims on page 97 that the optimal fraction of capital to allocate to a given ...
5
votes
2answers
668 views
Optimality of Kelly criterion in non-normal environment
It is a not so well known fact that the Kelly criterion is only optimal in a nice and well-behaved Merton-world. It is far from optimal when things are getting non-(log)normal (i.e. more realistic!).
...
