Timeline for Optimality of Kelly criterion in non-normal environment
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
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| Jul 1, 2011 at 16:03 | comment | added | mpeac | That's not an issue, it generalizes easily to a continuous distribution. The danger lies instead in not knowing the precise distribution of your returns. There's an excellent summary of the good and bad properties of the Kelly Criterion here: edwardothorp.com/sitebuildercontent/sitebuilderfiles/… | |
| Jul 1, 2011 at 6:03 | vote | accept | vonjd | ||
| Jun 30, 2011 at 19:30 | history | answered | bill_080 | CC BY-SA 3.0 |