Suppose I'd like to have 10 % of my portfolio allocated to "long volatility" by rolling straddles .

Obviously going all in on one trade implies significant risk of losing all the money. Does anyone know how one could structure such a strategy i.e some kind of simple way to keep a decent amount of capital over time, I do count on losing some of it since this is suppose to act as a hedge. Or does anyone know a way one could think about how to structure the buys?


google kelly criterion.

Note whilst some like Buffet follow it in full, some others just take half the sizing to reduce the risks..

  • $\begingroup$ thanks ill read about it ! infinity is far out tho :P $\endgroup$ – user123124 May 17 '20 at 7:09
  • $\begingroup$ You know of any other similar strategies for the same problem? That have the same level of simple formulation? $\endgroup$ – user123124 May 18 '20 at 5:55
  • 1
    $\begingroup$ en.wikipedia.org/wiki/Intertemporal_portfolio_choice has a few utility functions you can check too $\endgroup$ – user24980 May 18 '20 at 7:47

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