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?


1 Answer 1


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, 2020 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, 2020 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, 2020 at 7:47

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