Hi Jim, A couple of problems here. Equation 2.1 here is correct for determining an optimal fraction, but on the top of page 3, he tries to...
LivingInVol, Now it is a different story. That $1,000 represents a value for f on two lines. One of them is the scenario A (horizon =1)...
LivingInVol says: << A) You have calculated kelly on this to be 60%. But I only offer it once per year and it takes a year to know if you've won...
On the previous graph, to clarify, the vertical axis is expected multipled made on the stake, the horizontal is fraction of the stake wagered, for...
Bill, Rather than put up the entire PDF, maybe better if I just illustrate the basic idea here for the sake of perpetuating the thread...
Why don't I put it up as a pdf for free? if thirty bucks is more than nothing, they really don't need to be reading what I have written. That...
I cover this at length in "Risk-Opportunity Analysis," specifically Chapter 3. https://www.createspace.com/3691012 I'm not here to hustle...
Ok. Go figure it out yourself then. -Ralph Vince
Joe, You say "At the very least, you are misrepresenting Kelly either because you don't really understand Kelly or because of your own agenda."...
Joe, Using Kelly in most parimutuel sitiuations IS in conformance with what I call the "special case.' Though NOT the optimal fractoin to...
Intraday Bill, Further on this -- the paper I allude to with this information, I do not profit from any more than the author of any paper...
IntradayBill, Earlier in this thread, someone suggested to someone else here to use the result of the Kelly Criterion to determine their growth...
Sheepsucker, You want "free?" Go enroll in a quant class at a college that offers an MFE program or something like that. Go ahead, go pony...
sheepsucker, What's not "free and simple" about my stuff? What;s more free than an academic paper ? What do you think BSTJ is? You want free...
It's taken me a long time. In 1987 I went 23 in a row in bonds and coffee. It took me 20 years to figure out from there how to extend it.
Additionally, I am not "trying to undercut Kelly." Go back and read his 1956 paper in BSTJ. You won't find a single reference to trading the...
Guys, Say what you want -- I'm trying to help you here. I'm not trying to "sell" anything to you -- not books, not an IFTA Journal -- not even...
Joe, The Kelly Criterion is NOT proven to be the optimal fraction to allocate to a risk opportunity. As I have proven in the paper in the IFTA...
Joe, You say "Assuming perfect inputs, Kelly is the % of your capital to invest for optimal capital growth." But that is NOT correct. In...
Bill, I can but not here. If someone wants more on it, they need to obtain the paper from The Journal of The International Federation of...
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