The Kelly criterion - is it good...or bad?

Discussion in 'Risk Management' started by thenmmm, Nov 25, 2010.

  1. kut2k2

    kut2k2

    #71     Dec 3, 2014
  2. #72     Dec 3, 2014
  3. kut2k2

    kut2k2

    Optimal f and the Kelly Criterion

    Article by Ralph Vince begins on page 21.

    Optimal f is even more ridiculous than I believed. How this bullshit gained traction is a mystery to me.
     
    #73     Feb 19, 2016
    dartmus likes this.
  4. kut2k2

    kut2k2

    Too simple. That article doesn't actually explain optimal f and ends up saying the same thing they've all said before : "read Ralph Vince's book". Fortunately we can now bypass the book.

    I wonder if Ralph Vince paid the For Dummies people for that nice little plug.
     
    #74     Feb 23, 2016
    dartmus likes this.
  5. It's only useful if your strategy has a remotely small chance of losing money. Otherwise, following the Kelly Criteria is just asking to blow up your trading account.
     
    #75     Feb 25, 2016
  6. On the plus side, it delivers on its promise: use it and be optimally f'd.
     
    #76     Feb 25, 2016
    kut2k2 likes this.
  7. kut2k2

    kut2k2

    Kelly properly done doesn't blow up trading accounts.
     
    #77     Mar 4, 2016
    dartmus likes this.