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https://en.wikipedia.org/wiki/Kelly_criterion https://en.wikipedia.org/wiki/Kelly_criterion

• stopachka 7y ago
  If interested, two books on this are great: “fortunes formula” for a more riveting story of thorp and Shannon “Kelly capital growth investment criterion” by Thorp, Maclean, William — for the more technical take I found this essay in this second book, and liked it so much I found the standalone pdf. It’s inspiring how approachable and human some of the best minds in the world were
• beefman 7y ago
  See also: Peters and Gell-Mann (2015) https://arxiv.org/abs/1405.0585 https://arxiv.org/abs/1405.0585 Adamou et al (2019) https://arxiv.org/abs/1910.02137 https://arxiv.org/abs/1910.02137
  • unbalancedparen 7y ago
    We have done some simulations and explorations on Peters and Adamou's work: - https://lambdaclass.com/finance_playground/ergodicity/ergodicity-explorations.html https://lambdaclass.com/finance_playground/ergodicity/ergodi... - https://lambdaclass.com/RGBM_animations/ https://lambdaclass.com/RGBM_animations/
    • trishankkarthik 7y ago
      Hihi, me too: https://github.com/trishankkarthik/notebooks/blob/master/Evaluating%20Gambles%20using%20Dynamics.ipynb https://github.com/trishankkarthik/notebooks/blob/master/Eva...
      • juskrey 7y ago
        Hi Trish!
        • trishankkarthik 7y ago
          Hi Stan!
        • deleted 7y ago
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        • deleted 7y ago
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