Kelly Sizing With Asynchronous Signals
Textbook Kelly sizing assumes one bet at a time. Real signals arrive asynchronously and overlap, and the full fraction overcommits capital. Here is the fix.
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Textbook Kelly sizing assumes one bet at a time. Real signals arrive asynchronously and overlap, and the full fraction overcommits capital. Here is the fix.
The Kelly criterion sets bet size from your edge. See what ten years of daily stock returns imply about full Kelly, drawdown, and half Kelly in practice.