4 ms·
Kelly criterion defines the optimum ratio.
by sobriquet9 3y ago
Kelly criterion defines the optimum ratio.
- rerdavies 3y agoThe Kelly Criterion, in this case, suggests that the optimum bet size is ~25% of your wealth. Making 4 separate bets in each round with 25% of your wealth produces the following results: Investors: 100,000 Iterations: 100 Portfolio size: 4 Avg wealth: $130.041 Median wealth: $11.6259 Winners: 85,902 Investestors worth < $0.01: 119 Max wealth: $86,177.5 heads: 241 tails: 159