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Quantitative Finance · Glossaire

Qu'est-ce que « Kelly criterion » ?

Definition 29.3 Markets II: Rates, FX and Credit · Chapitre 29 — Thinking in Expected Value

The Kelly criterion stakes, on each bet, the fraction of wealth that maximises the growth rate.

Growth rate of wealth per flip of the 60% coin at even money, against the fraction of wealth staked. It peaks at the Kelly fraction, 0.2, with 2.01% a flip, and falls to zero at 0.389, about twice Kelly. Data: the chapter’s tutorial.
Figure 29.1. Growth rate of wealth per flip of the 60% coin at even money, against the fraction of wealth staked. It peaks at the Kelly fraction, 0.2, with 2.01% a flip, and falls to zero at 0.389, about twice Kelly. Data: the chapter’s tutorial.
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