Kelly’s criterion for optimization
DOI:
https://doi.org/10.56028/aemr.5.1.354.2023Keywords:
Kelly’s criterion, optimization for investment, Central limit theorem, probability.Abstract
Since first proposed by John Larry Kelly, the Kelly criterion has become one of the most reliable methods to determine the maximum profit strategy in investment and gambling. In this work, the basic principle of Kelly’s criterion is first reviewed. Then I discuss its application in the irrelative, un-correlated, and anti-correlated investment scenario. Finally, some possible follow-up studies and extensions of Kelly’s criterion are prospected.
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Published
2023-05-06