Non-normal Kelly's criteria

[GordonHui]

How to obtain the formula for Kelly's criteria with skew? Derivation is perfered.

 

[panzerman]

You shouldn't worry about skew or kurtosis in your Kelly calculation. In fact you should probably use fractional Kelly and just stick with a normality assumption.

 

[ironchef]

Really? You want derivation? Here is one.

https://sites.math.washington.edu/~morrow/336_10/papers/jane.pdf

If you want to include skew and kurtosis, just replace the Gaussian with your own favorite distribution that has skew and kurtosis.

But don't ask me because I am math challenged and only care about the answer.

 

[tdazio]

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2956161

 

[chrisbamtrader123]

Do any of you actually have practical success with Kelly? R Vince says it is not the right model for trading and optimal if is better for trading. I would be interested in your thoughts...

 

[ironchef]

Do any of you actually have practical success with Kelly? R Vince says it is not the right model for trading and optimal if is better for trading. I would be interested in your thoughts...

Ed Thorp.

 

[chrisbamtrader123]

Thanks for this!