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Results tagged with kelly-criterion
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user 13433
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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Can you clarify Kelly's derivation in Paul Wilmott Introduces Quantitative Finance?
Can anybody explain how the $\phi_i$ became $\mu$ and how $\phi_i^2$ became $\sigma^2$. Am I correct to assume that since $\phi_i$ is the outcome, $\mu$ is the average of the outcome? But I don't und …
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