It sounds like we might mostly agree in substance and a debate over semantics isn’t productive. I agree that “the inputs to the Kelly formula are imprecise and therefore we should not mindlessly implement its…
“ The fundamental principle of Kelly is that you know your edge, in the markets that is mostly untrue.” Most every professional investor I’ve met attempts to quantify the risk-reward of each trade and size accordingly.…
https://blog.alphatheory.com/2013/01/kelly-criterion-in-prac...
It sounds like we might mostly agree in substance and a debate over semantics isn’t productive. I agree that “the inputs to the Kelly formula are imprecise and therefore we should not mindlessly implement its…
“ The fundamental principle of Kelly is that you know your edge, in the markets that is mostly untrue.” Most every professional investor I’ve met attempts to quantify the risk-reward of each trade and size accordingly.…
https://blog.alphatheory.com/2013/01/kelly-criterion-in-prac...