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The Kelly Criterion in Applied Portfolio Selection – Part 2

December 12, 2016
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(This article was first published on databait, and kindly contributed to R-bloggers) Previous blog post on the Kelly Criterion As pointed out in a previous blog post, the Kelly Criterion is an interesting option to decide on position sizing in portfolio selection. While the previous post looked at single stocks, I will today show how to optimize position sizes...

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The Kelly Criterion in Applied Portfolio Selection

December 10, 2016
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The Kelly Criterion in Applied Portfolio Selection

The Kelly CriterionDerived by John L. Kelly (1956) the criterion recommends a certain fraction of a bankroll to be put on a bet with positive expectations. Kelly showed that $$\frac{p \cdot (b+1) - 1}{b}$$ optimizes the growth rate of wealth if the gam...

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Webscraping with R using a Raspberry Pi

December 7, 2016
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Setti

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