New answers tagged

1 vote

Kelly Criterion in correlated stocks

This post provides a model for the Kelly Criterion under no leverage and no short constraints, and yields the following quadratic program: $$\max_f g = r + \sum_{i=1}^n f_i(\mu_i - r) - \frac{1}{2} \...
user avatar
  • 111
0 votes

What's the point of resampling?

True, Mean Variance gives you a mathematical solutions. But resampling, especially for Monte Carlo simulations allows you to specify any kind of distribution you want, and repeat for a large number of ...
user avatar

Top 50 recent answers are included