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Re:Kelly Criterion (2007) by pyrex41 on Monday November 19, 2018 @10:16AM (#18486971)
Most of the examples of Kelly criterion application are either concrete bets with discrete payoff/loss odds and values, or assumed to be normally distributed. This paper discusses how extremely skewed outcomes (eg, stock options) should affect the Kelly calculation: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2956161

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