# Questions tagged [kelly-criterion]

The kelly-criterion is a risk management strategy (or wagering system) providing an optimal risk apportionment system that relies on having 2 calculated probabilities.

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### Calculating M in Kelly portfolio optimization

My Question In: $F^* = C^{−1}[M−R]$ where $M$ is a vector of $n$ securities returns, is the log return, or arithmetic return, intended to be used for computing the drift rate $M$? Background Thorp ...
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### is it possible to apply kelly to my framework

Hi All: I think the answer to my question is no but I'll ask anyway. Suppose I have an intraday strategy with the following framework. Any individual stock can take on multiple positions but only ...
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### Kelly Criterion in correlated stocks

I would like to ask if there exist any mathematical proof or model which addresses how the Kelly criterion can be applied to find portfolio weights when the stocks are correlated.
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### How to apply the Kelly criterion when expected return may be negative?

My concern is how to handle a negative value for the Kelly formula. Even when you have a system that has positive expectancy, you can (and usually will) sustain a number of losses, sometimes ...
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### How to optimally allocate capital among trading strategies?

I'm trying to find an optimal way to allocate capital among trading strategies. "Quantitative Trading" by Ernie Chan claims on page 97 that the optimal fraction of capital to allocate to a given ...