Ruslan Tepelyan (Bloomberg): Efficient Multivariate Kelly Optimization
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YouTubeCornell Financial Engineering Manhattan CFEM
Ruslan Tepelyan (Bloomberg): Efficient Multivariate Kelly Optimization
Abstract: For a sequence of binary bets, the Kelly criterion provides a closed-form solution that maximizes the expected growth rate of wealth. In contrast, when multiple bets are placed simultaneously (e.g., in portfolio allocation or prediction markets), the optimal Kelly strategy generally requires numerical optimization over a joint outcome ...
98 views1 week ago
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