Tag info

the kelly-criterion is a risk management strategy(or wagering system) developed by the J.L. Kelly of Bell Labs. Kelly's formula, as it is also called, provides an optimal risk apportionment system that relies on having 2 calculated probabilities. Namelym the odds of an event occurring, and the edge the investor(gambler) has in the event. It is optimal because it is guaranteed not to bankrupt the investor(gambler), while maximizing the expected return...