Kelly criterion
Formula for bet sizing that maximise expected value
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Kelly criterion
Formula for bet sizing that maximise expected value
In finance, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for risk allocation with the sizing a sequence of bets by maximizing the long-term expected value of the logarithm of wealth, which is equivalent to maximizing the long-term expected geometric growth rate. John Larry Kelly Jr., a researcher at Bell Labs, described the criterion in 1956.
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In finance, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for risk allocation with the sizing a sequence of bets by maximizing the long-term expected value of the logarithm of wealth, which is equivalent to maximizing the long-term expected geometric growth rate. John Larry Kelly Jr., a researcher at Bell Labs, described the criterion in 1956. The practical use of the formula has been demonstrated for gambling, and the same idea was used to explain diversification in investment management. In the 2000s, Kelly-style analysis became a part of mainstream investment theory and the claim has been made that well-known, successful investors including Warren Buffett and Bill Gross use Kelly methods (also see intertemporal portfolio choice). It is also the standard replacement of statistical power in anytime-valid statistical tests and confidence intervals, based on e-values and e-processes.
Texto: Wikipédia em inglês, CC BY-SA 4.0. · Imagem: Zojj (CC BY-SA 4.0) ·
