# Tag Info

1

They are the same. The maximum growth rate is achieved when the Sharpe ratio is maximized. For the proof, see here.

1

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, ...

1

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 ...

1

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

Only top voted, non community-wiki answers of a minimum length are eligible