# Tag Info

### Why does Kelly maximise $E[\log\space G]$ rather than simply $E[G]$?

The short answer is that: Maximizing the expected logarithm leads to more wealth almost surely in the long run. In contrast, maximizing expected return can easily lead to going broke almost surely in ...
• 6,934
Accepted

### Why does Kelly maximise $E[\log\space G]$ rather than simply $E[G]$?

Maximizing $E[\log(G)]$ which corresponds to a concave utility function is a subtle way of incorporating risk aversion in the utility. Maximizing $E[G]$ is basically saying that you have linear ...
• 2,187
Accepted

• 2,422

### Optimize portfolio of non-normal binary return assets

For a single period, I would consider scenario optimisation: simulate your assets' returns (which you can do since you know their statistical properties, including correlations), and in this way ...
• 3,466

### How can the Kelly Criterion be adjusted for making Angel Investment Decisions?

Unfortunately, the solution isn't simple in that you can pick up a piece of paper or pencil, but with software it isn't actually as bad as it is about to sound. To begin with, note that the Kelly ...
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### Kelly criterion for normally distributed returns

ok I found it ðŸ™‚and this works for any distribution, not just the normal distribution $f^*=\frac Î¼ {Ïƒ^2 + Î¼^2} \approx \frac Î¼ {Ïƒ^2} \space if Î¼\llÏƒ$ here the steps: https://www.dropbox.com/s/...
• 460

### Kelly Criterion in correlated stocks

Luenberger's book has a discussion on growth-optimal (i.e. Kelly) portfolios, also for the multivariate case with correlated assets. ...
• 3,466
Accepted

### Calculating M in Kelly portfolio optimization

Thorp defines $g_{\infty}$ as the mean long run logarithmic portfolio return. He argues that this is maximized when the portfolio is set $$F^{*}=C^{-1}(M-R)$$ Here is $M$ a vector of drift rates $m_i$ ...
• 1,727

### Kelly Criterion â€” maximize expected value and minimize the variance in card game with $x$ red and $y$ black cards

This is what I would do without access to pen and paper. I don't know whether this strategy is optimal but it is easy to execute and I invite others to do better :) The problem in this setup is that I ...
• 8,552

### Why not calculate Kelly using semivariance? As w Sortino

The underlying assumption to your mu/simga^2 formula is that the pricing process follows geometric Brownian motion, so your returns are therefore symmetric and normal. The existence of a very high ...