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The Kelly Criterion in Applied Portfolio Selection – Part 2

December 12, 2016
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<a href="https://databait.github.io/#Previous-blog-post-on-the-Kelly-Criterion" class="headerlink" title="Previous b

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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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