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Maybe you could find pretty interesting the following papers: Laureti, P., Medo, M., and Zhang, Y.-C. (2010). Analysis of Kelly-optimal portfolios. Quantitative Finance, 10(7): 689–697. and Nekrasov, Vasily, Kelly Criterion for Multivariate Portfolios: A Model-Free Approach (September 30, 2014). The last is available at SSRN. Particularly, ...


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What are you saying is not completely correct. What kelly criterion maximizes is the average growth of the capital invested. In fact, if I want to invest a fraction $f$ of my 1000 units the amount that I will have after $M$ trades will be $1000\Pi_{i=1}^{M} (1+f\phi_i)$ What we need to maximize is expected long-term growth rate. Growth rate is given by ...


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As the paper suggests, the results that are shown in table 2 are taken from (if you read the caption) Ziemba, William T., and Donald B. Hausch, Betting at the Racetrack (New York: Norris M. Strauss, 1986) The citation is not included for some reason, hence your confusion. Your code works fine by the way. Thanks


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Others may have different views, but I've tried applying Kelly formula/fractional Kelly strategies to capital allocation, and find it rather unpractical and risky. I would honestly suggest a three-tier optimization framework that I am myself adopting: Assuming you have $M$ number of models covering multiple instruments and strategies. Your goal is to pick ...


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Bayesian Odds Ratios can be used to compare models and allocate wealth to various models based on the relative probability that each particular model is "best." You could begin to look into it more on the wiki site.


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Have a look at my paper http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2259133 I checked Kelly formula and found the answer from it is exactly as Markowitz's theory. >Thus, most issues on mean-variance theory (e.g. noise of estimation for mean and >variance) applies here. Kelly is not exactly as Markowitz's theory but they are indeed closely ...



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