2 ms·
Yes it can. Kelly can be applied to determine optimal leverage ratios. Assuming a risk free rate of zero, that formula is expected return divided by expected va
by smabie 6y ago
Yes it can. Kelly can be applied to determine optimal leverage ratios. Assuming a risk free rate of zero, that formula is expected return divided by expected variance.
so 10% expected return and 10% expected volatility, optimal Kelly is 10x leverage.