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confidence bands for kelly ratio
Posted: Mon Jan 27, 2014 7:32 pm
by Craig
Me too please.
confidence bands for kelly ratio
Posted: Mon Jan 27, 2014 7:43 pm
by filthy
there are a few who have not supplied email addresses
confidence bands for kelly ratio
Posted: Tue Jan 28, 2014 12:09 am
by HankScorpio
Hi filthy, can you please forward me a copy when you get a chance? Many Thanks.
confidence bands for kelly ratio
Posted: Tue Jan 28, 2014 5:21 am
by Craig
Profile updated.
confidence bands for kelly ratio
Posted: Tue Jan 28, 2014 2:33 pm
by darkmatters
Could you please pass it along to me as well?
confidence bands for kelly ratio
Posted: Tue Jan 28, 2014 7:55 pm
by lexx
would mighty appreciate a copy also. Email in profile. Thnx in advance.
confidence bands for kelly ratio
Posted: Tue Jan 28, 2014 8:45 pm
by goldorak
Have you heard of "Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion" by Baker & McHale
?
confidence bands for kelly ratio
Posted: Wed Jan 29, 2014 2:44 pm
by filthy
yes. i liked it but it deals with a different (but related) issue.
confidence bands for kelly ratio
Posted: Fri Jan 31, 2014 12:29 am
by tabris
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.
confidence bands for kelly ratio
Posted: Fri Jan 31, 2014 4:53 am
by righttrader
Yes, please.