Kelly fractions for independent simultaneous bets
Read OriginalThis technical article details the Kelly criterion for optimal bet sizing in sequential binary bets, including its mathematical derivation. It then extends the concept to handle multiple independent bets placed simultaneously, formulating the optimization problem and providing a Python implementation using SciPy to calculate the optimal investment fractions across all bets.
Comments
No comments yet
Be the first to share your thoughts!
Browser Extension
Get instant access to AllDevBlogs from your browser