confidence bands for kelly ratio

filthy · Post by **filthy** » Sat Jan 25, 2014 12:32 am

does anyone have any interest in seeing my little note on this? it certainly isn't in a good enough state for general release but i'd appreciate any feedback from np'ers

FDAXHunter · Post by **FDAXHunter** » Sat Jan 25, 2014 12:37 am

Yes, I am very interested.

tabris · Post by **tabris** » Sat Jan 25, 2014 6:07 am

I am interested as well.

NeroTulip · Post by **NeroTulip** » Sat Jan 25, 2014 6:08 am

Count me in, of course!

curvefitter · Post by **curvefitter** » Sat Jan 25, 2014 8:55 am

I'm all ears.

Nonius · Post by **Nonius** » Sat Jan 25, 2014 9:38 am

me too. I've been sort of mucking around with an alternative approach: bayesian analysis.

Tradenator · Post by **Tradenator** » Sat Jan 25, 2014 6:52 pm

Without having seen the work, my first thought was to use a total derivative to get a measurement uncertainty for the Kelly ratio as a function of the measurement uncertainties for its inputs.

deeds · Post by **deeds** » Sat Jan 25, 2014 8:23 pm

I am interested in seeing the note.

Metanap · Post by **Metanap** » Sat Jan 25, 2014 9:22 pm

Let's see it

Kutilya · Post by **Kutilya** » Sat Jan 25, 2014 10:18 pm

Yes please