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by lereh
Sun Apr 26, 2015 12:11 pm
Forum: Investing - Theory, News & General
Topic: 140% Stocks (or why the Kelly criterion is cool)
Replies: 98
Views: 11322

Re: 140% Stocks (or why the Kelly criterion is cool)

Kelly assumes an indefenite number of bets. At any point in the progression, you could see as much as a 90% decline in your bankroll. Now, if you can live forever, you can recover from such a drastically bad series of losing bets, and ultimately achieve the "optimal expected return." Unfortunately, ...