Confidence Intervals for the Kelly Criterion

12 Pages Posted: 23 Jun 2014

Date Written: June 21, 2014

Abstract

Investing according to the Kelly criterion will theoretically outperform any other sizing strategy. However, the value of the optimal fraction will generally need to be estimated from empirical data. This means that our estimate will invariably have a degree of uncertainty attached to it. In this note I show how to calculate the variance of the estimated Kelly criterion ratio.

Keywords: Kelly criterion, optimal risk, uncertainty

Suggested Citation

Sinclair, Euan, Confidence Intervals for the Kelly Criterion (June 21, 2014). Available at SSRN: https://ssrn.com/abstract=2457368 or http://dx.doi.org/10.2139/ssrn.2457368

Euan Sinclair (Contact Author)

FactorWave ( email )

CHICAGO, IL 60647
United States

HOME PAGE: http://www.factorwave.com

Bluefin Trading ( email )

440 South LaSalle
Suite 900
Chicago, IL 60605
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
580
Abstract Views
1,614
rank
47,089
PlumX Metrics