3 ms·

There needs to be some degree of risk aversion given the uncertainties in estimating your edge. I am thinking more along the lines of a CRRA utility function -

There needs to be some degree of risk aversion given the uncertainties in estimating your edge. I am thinking more along the lines of a CRRA utility function - something a little less aggressive than kelly.

qwtel 9y ago
in your opinion, is there any practical benefit over just using half kelly?