Re:Kelly Criterion – how to calculate optimal bet sizes
by arthurcolle on Wednesday June 09, 2021 @04:24PM
(#27452702)
Please share this calculation, dying to know what kind of inter-universal Teichmüller space theoretic math you're using to come up with this.
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Re:Kelly Criterion – how to calculate optimal bet sizes
by afryer on Wednesday June 09, 2021 @05:32PM
(#27453512)
https://news.ycombinator.com/item?id=27453365
Edward Thorpe and Ralph Vince both conclude that the Kelly Criterion in the continuous case is excess returns divided by variance, which is pretty close to the Sharpe Ratio, correct?
Asking to understand better, not to be combative. Your comment made it seem like that formula is way off.