Articles by [email protected]

The Kelly Criterion in Applied Portfolio Selection – Part 2

December 12, 2016 | [email protected]

[This article was first published on databait, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) Want to share your content on R-bloggers? click here if you have a blog, or here if you don't. 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 for a portfolio with multiple stocks. The core function At the core of my portfolio optimization is this function: 12345678910111213 opt_portfolio [Read more...]

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