Chapter 17: Portfolio Construction
Kelly Criterion and Fractional Kelly for Multi-Asset Portfolios intermediate
Kelly sizing maximizes long-run log growth, but the full-Kelly solution is usually too fragile to estimated inputs to be deployed without a haircut.
Kelly sizing maximizes long-run log growth, but the full-Kelly solution is usually too fragile to estimated inputs to be deployed without a haircut.
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References
Portfolio Choice and the Kelly Criterion
Edward O. Thorp
(1975)
— Elsevier
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
A New Interpretation of Information Rate
J. L. Kelly
— WORLD SCIENTIFIC
Advances in Financial Machine Learning
Marcos Lopez de Prado
(2018)
— John Wiley & Sons