I am trying to understand what the "correct"/optimal way of betting is using the Kelly Criterion but for bets that don't immediately give an outcome.
For example, I have 100 dollars. I get a buy signal, I run Kelly Criterion and it says optimal is 20% bet, so I put 20 dollars on that buy signal. Now, let's say in the next timestep, I get another buy signal on something else, but the first position hasn't been closed yet - so I have 80 dollars cash and 20 locked up in a position. The Kelly Criterion says 10% is optimal - would I bet 10 dollars on this new position (10% of my total portfolio value) or 8 (10% of remaining free cash)?
Any references or justification would be appreciated. Thank you!