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Hi Jim, A couple of problems here. Equation 2.1 here is correct for determining an optimal fraction, but on the top of page 3, he tries to express it in terms of the sum of natural logs -- the two are NOT equivalent except in what I call the "special case" which is frequently seen in...

LivingInVol, Now it is a different story. That $1,000 represents a value for f on two lines. One of them is the scenario A (horizon =1) straight line function, where you are at a given point representing $1,000, and scenario B (horizon=1,000, thus, a curved line since horizon > 1) where you...

LivingInVol says: << A) You have calculated kelly on this to be 60%. But I only offer it once per year and it takes a year to know if you've won and get paid. You have to put up the $1000 immediately. B) You have calculated kelly to be 10%. I offer this 1000 times per year and payout is...

On the previous graph, to clarify, the vertical axis is expected multipled made on the stake, the horizontal is fraction of the stake wagered, for campagins that terminate at 1 to 8 plays.

Bill, Rather than put up the entire PDF, maybe better if I just illustrate the basic idea here for the sake of perpetuating the thread (admittedly, I don't understand why you say the problem is solvable with mean-variance here, unless I am entirely misunderstanding the problem) Let's say...

Why don't I put it up as a pdf for free? if thirty bucks is more than nothing, they really don't need to be reading what I have written. That sounds like the kind of lament the guys at the bar drinking the water, eating the popcorn say about "the girls at that table," being "too stuck up."...

I cover this at length in "Risk-Opportunity Analysis," specifically Chapter 3. https://www.createspace.com/3691012 I'm not here to hustle the book -- I don't care how many copies sell or don't sell, and there's no publisher I am answerable to on it. I did it because I love working on...

Ok. Go figure it out yourself then. -Ralph Vince

Joe, You say "At the very least, you are misrepresenting Kelly either because you don't really understand Kelly or because of your own agenda." I hope I have made my agenda clear. As for my not understanding (or "misrepresenting") Kelly -- I am trying to propose that it is the...

Joe, Using Kelly in most parimutuel sitiuations IS in conformance with what I call the "special case.' Though NOT the optimal fractoin to wager, in the special case it equals the optimal fraction to wager. The markets are different though, and you should NOT operate under the assumption...

Intraday Bill, Further on this -- the paper I allude to with this information, I do not profit from any more than the author of any paper profits from it;s publication in any journal. As for the course - I don't take the money it makes (nor do I "give it to charity" but rather send it to...

IntradayBill, Earlier in this thread, someone suggested to someone else here to use the result of the Kelly Criterion to determine their growth optimal quantity to trade in. Realizing this would very likely (because it was not, most likely, what I call a "special case") cause the person who...

Sheepsucker, You want "free?" Go enroll in a quant class at a college that offers an MFE program or something like that. Go ahead, go pony up your 50-100 grand and go learn your stochastic calculus. See what that gets you in the markets. And you want free? I owe you free, don't I...

sheepsucker, What's not "free and simple" about my stuff? What;s more free than an academic paper ? What do you think BSTJ is? You want free -- go download an RAR or a Chinese copy. Is that "free enough for you?" Do you think I learned what I learned for free? Keep drinking the...

It's taken me a long time. In 1987 I went 23 in a row in bonds and coffee. It took me 20 years to figure out from there how to extend it.

Additionally, I am not "trying to undercut Kelly." Go back and read his 1956 paper in BSTJ. You won't find a single reference to trading the markets. Are we to assume he didn;t know there WERE markets? The answer to the Kelly Criterion is NOT the answer Kelly thought it was. That doesn;t...

Guys, Say what you want -- I'm trying to help you here. I'm not trying to "sell" anything to you -- not books, not an IFTA Journal -- not even the 2 day course. (Of course, you can go Cal or someplace nice and pricey like that, and learn the WRONG things, by people who DON'T trade). You...

Joe, The Kelly Criterion is NOT proven to be the optimal fraction to allocate to a risk opportunity. As I have proven in the paper in the IFTA journal (and will cover in-depth in Tampa) it is proven to be EQUAL to the Optimal fraction in only certain circumstances which are infrequently...

Joe, You say "Assuming perfect inputs, Kelly is the % of your capital to invest for optimal capital growth." But that is NOT correct. In certain circumstances it will EQUAL the % of your capital to invest for optimal capital growth, but in MOST instances, in trading, it will not. That's...

Bill, I can but not here. If someone wants more on it, they need to obtain the paper from The Journal of The International Federation of Technical Analysys #11 available through admin at ifta dot org or attend the 2-day course on these matters -- informatoin at my website ralphvince.com