Optimal f: Calculating the Expected Growth-Optimal Fraction for Discretely-Distributed Outcomes

12 Pages Posted: 15 Mar 2015 Last revised: 6 Jun 2017

Ralph Vince

Vince Strategies LLC

Date Written: June 5, 2017

Abstract

Presented is the formulation for determining the exact, expected growth-optimal fraction of equity to risk for all conditions, rather than merely the asymptotic growth-optimal fraction. The formulation presented represents the surface in the leverage space manifold, wherein the loci at the peak of the surface are those fractions for maximizing expected growth. Other criteria can be solved for upon the surface in the leverage space manifold utilizing the equation specified here.

Keywords: Growth-optimal portfolio, risk management, Kelly Criterion, finite investment horizon, drawdown

Suggested Citation

Vince, Ralph, Optimal f: Calculating the Expected Growth-Optimal Fraction for Discretely-Distributed Outcomes (June 5, 2017). Available at SSRN: https://ssrn.com/abstract=2577782 or http://dx.doi.org/10.2139/ssrn.2577782

Ralph Vince (Contact Author)

Vince Strategies LLC ( email )

405 Lexington Ave - 26th fl
New York, NY 10174
United States

HOME PAGE: http://vinceprime.com

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