4 ms·
This. The article concludes: > So what is the answer to the question, how much should stock should I buy? The answer is probably less than you think. But in
by evrydayhustling 8y ago
This. The article concludes:
> So what is the answer to the question, how much should stock should I buy? The answer is probably less than you think.
But in my experience, optimal log-wealth portfolios look like the craziest guy on your desk. Kelly accepts huge drawdowns that most people would get fired (or fire themselves) for. Half Kelly or quarter Kelly looks more like most professionals' instincts about acceptable risk.
- pyrex41 8y agoAnd, given need to allow for errors in estimation and eventual deterioration of many alpha-generating strategies, adjusting investment fraction downward (a sort Bayesian prior, I suppose) is sensible on its own, sans vol sensitivity considerations.