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wenc
1y ago
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But do you calibrate p (say through estimation) and then apply the Kelly criterion in your portfolio?
I don’t think it is used in this way. It swings too much with a given p.
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uoaei
1y ago
You calibrate for a reasonable distribution of
p
and use that to estimate (Monte Carlo, etc.) expected gain, optimizing your investment based on that. With this technique your estimate will probably end up somewhere around the common heuristics.
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