confidence bands for kelly ratio

Craig · Post by **Craig** » Mon Jan 27, 2014 7:32 pm

Me too please.

filthy · Post by **filthy** » Mon Jan 27, 2014 7:43 pm

there are a few who have not supplied email addresses

HankScorpio · Post by **HankScorpio** » Tue Jan 28, 2014 12:09 am

Hi filthy, can you please forward me a copy when you get a chance? Many Thanks.

Craig · Post by **Craig** » Tue Jan 28, 2014 5:21 am

Profile updated.

darkmatters · Post by **darkmatters** » Tue Jan 28, 2014 2:33 pm

Could you please pass it along to me as well?

lexx · Post by **lexx** » Tue Jan 28, 2014 7:55 pm

would mighty appreciate a copy also. Email in profile. Thnx in advance.

goldorak · Post by **goldorak** » Tue Jan 28, 2014 8:45 pm

Have you heard of "Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion" by Baker & McHale

?

filthy · Post by **filthy** » Wed Jan 29, 2014 2:44 pm

yes. i liked it but it deals with a different (but related) issue.

tabris · Post by **tabris** » Fri Jan 31, 2014 12:29 am

thanks filthy... a quick scan makes it almost seems like you are using the distribution to "test" whether the strategy has a true edge (at least in the latter part)? This is interesting as I have never thought about the fact that with 95% confidence if kelly is non negative it would say the trade strategy has an actual edge.

If this is indeed the case, my gut feel would say this is rather prohibitive and would throw out a lot of strategies. But maybe those strategies never really HAD a believable edge in the first place. I will need to sleep on this a bit more.

righttrader · Post by **righttrader** » Fri Jan 31, 2014 4:53 am

Yes, please.