rvince

4 ms·

1. 1.▲
   by rvince 17y ago

   Does anyone have a copy of this paper ("The Kelly Criterion and the Stock Market" Louis M Rotando, Edward O Thorp, The American Mathematical Monthly (1992) vol. 99 (10) pp. 922-931) I am having a very difficult time locating it. Thanks
2. 2.▲
   by rvince 17y ago

   I certainly agree with you. In, say, a gambling situation (which provides a "special case type" of situation where the answer that satisfies the Kelly Criterion is equal to the Optimal f answer) we know that the optimal is very "delicate,"
3. 3.▲
   by rvince 17y ago

   I beg to differ. It is appropriate only in certain, special circumstances. It is misapplied and misunderstood, and though I respect the work of those you cite, but it does NOT yield the growth optimal fraction in trading unless two specific
4. 4.▲
   by rvince 17y ago

   Portfolio Management Formulas is not based on the Kelly Criterion (i.e. maximizing the expected value of the logs of the returns). The latter is not applicable to trading (Academic promotion of such notwithstanding. Kelly himself in his 1