4 ms·
> a Kelley better For those interested in finance - he means an algorithm for determining the bet size using the continuous kelly criterion: betsize = mean(re
by dmichulke 4y ago
> a Kelley better
For those interested in finance - he means an algorithm for determining the bet size using the continuous kelly criterion:
betsize = mean(returns)/variance(returns)
https://quant.stackexchange.com/questions/7197/kelly-criterion-and-sharpe-ratio/7199#7199 https://quant.stackexchange.com/questions/7197/kelly-criteri...
(correct me if I'm wrong)