XXX Money Management via the Kelly Criterion | QuantStart Pics
Portfolio optimization based on the Mean-Variance model and the Markowitz model aims to obtain an Kelly Model Portfolio portfolio weight composition by maximizing return expectations and minimizing the level of risk as measured by variance.
Bernoulli[ edit ] In a Kelly Model Portfolio, Daniel Bernoulli suggested that, when one has a choice of bets or Kelly Model Portfolio, one should choose that with the highest geometric mean of outcomes. This is mathematically equivalent to the Kelly criterion, although the motivation is entirely different Bernoulli wanted Mdoel resolve the St. Petersburg paradox.
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