Comment by wenc
8 hours ago
But do you calibrate p (say through estimation) and then apply the Kelly criterion in your portfolio?
I don’t think it is used in this way. It swings too much with a given p.
8 hours ago
But do you calibrate p (say through estimation) and then apply the Kelly criterion in your portfolio?
I don’t think it is used in this way. It swings too much with a given p.
You calibrate for a reasonable distribution of p and use that to estimate (Monte Carlo, etc.) expected gain, optimizing your investment based on that. With this technique your estimate will probably end up somewhere around the common heuristics.