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Kelly criterion

Index Kelly criterion

In probability theory and intertemporal portfolio choice, the Kelly criterion, Kelly strategy, Kelly formula, or Kelly bet is a formula used to determine the optimal size of a series of bets in order to maximise the logarithm of wealth. [1]

30 relations: Bell Labs, Bell System Technical Journal, Bill H. Gross, Daniel Bernoulli, Econometrica, English language, Expectation–maximization algorithm, Expected utility hypothesis, Expected value, Formula, Gambling and information theory, Geometric Brownian motion, Geometric mean, Intertemporal portfolio choice, John Larry Kelly Jr., Logarithm, Mathematical optimization, Odds, Probability theory, Proebsting's paradox, Python (programming language), Quadratic programming, Risk of ruin, St. Petersburg paradox, SymPy, Taylor series, The Economist, Variance, Warren Buffett, William Poundstone.

Bell Labs

Nokia Bell Labs (formerly named AT&T Bell Laboratories, Bell Telephone Laboratories and Bell Labs) is an American research and scientific development company, owned by Finnish company Nokia.

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Bell System Technical Journal

The Bell System Technical Journal was a periodical publication by the American Telephone and Telegraph Company (AT&T) in New York devoted to the scientific and engineering aspects of electrical communication.

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Bill H. Gross

William Hunt Gross (born April 13, 1944) is an American investor, fund manager, and philanthropist.

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Daniel Bernoulli

Daniel Bernoulli FRS (8 February 1700 – 17 March 1782) was a Swiss mathematician and physicist and was one of the many prominent mathematicians in the Bernoulli family.

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Econometrica

Econometrica is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics.

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English language

English is a West Germanic language that was first spoken in early medieval England and is now a global lingua franca.

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Expectation–maximization algorithm

In statistics, an expectation–maximization (EM) algorithm is an iterative method to find maximum likelihood or maximum a posteriori (MAP) estimates of parameters in statistical models, where the model depends on unobserved latent variables.

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Expected utility hypothesis

In economics, game theory, and decision theory the expected utility hypothesis, concerning people's preferences with regard to choices that have uncertain outcomes (gambles), states that if specific axioms are satisfied, the subjective value associated with an individual's gamble is the statistical expectation of that individual's valuations of the outcomes of that gamble.

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Expected value

In probability theory, the expected value of a random variable, intuitively, is the long-run average value of repetitions of the experiment it represents.

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Formula

In science, a formula is a concise way of expressing information symbolically, as in a mathematical formula or a chemical formula.

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Gambling and information theory

Statistical inference might be thought of as gambling theory applied to the world around us.

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Geometric Brownian motion

A geometric Brownian motion (GBM) (also known as exponential Brownian motion) is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion (also called a Wiener process) with drift.

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Geometric mean

In mathematics, the geometric mean is a mean or average, which indicates the central tendency or typical value of a set of numbers by using the product of their values (as opposed to the arithmetic mean which uses their sum).

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Intertemporal portfolio choice

Intertemporal portfolio choice is the process of allocating one's investable wealth to various assets, especially financial assets, repeatedly over time, in such a way as to optimize some criterion.

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John Larry Kelly Jr.

John Larry Kelly Jr. (1923–1965), was a scientist who worked at Bell Labs.

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Logarithm

In mathematics, the logarithm is the inverse function to exponentiation.

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Mathematical optimization

In mathematics, computer science and operations research, mathematical optimization or mathematical programming, alternatively spelled optimisation, is the selection of a best element (with regard to some criterion) from some set of available alternatives.

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Odds

Odds are a numerical expression, usually expressed as a pair of numbers, used in both gambling and statistics.

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Probability theory

Probability theory is the branch of mathematics concerned with probability.

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Proebsting's paradox

In probability theory, Proebsting's paradox is an argument that appears to show that the Kelly criterion can lead to ruin.

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Python (programming language)

Python is an interpreted high-level programming language for general-purpose programming.

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Quadratic programming

Quadratic programming (QP) is the process of solving a special type of mathematical optimization problem—specifically, a (linearly constrained) quadratic optimization problem, that is, the problem of optimizing (minimizing or maximizing) a quadratic function of several variables subject to linear constraints on these variables.

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Risk of ruin

Risk of ruin is a concept in gambling, insurance, and finance relating to the likelihood of losing all one's investment capital or extinguishing one's bankroll below the minimum for further play.

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St. Petersburg paradox

The St.

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SymPy

SymPy is a Python library for symbolic computation.

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Taylor series

In mathematics, a Taylor series is a representation of a function as an infinite sum of terms that are calculated from the values of the function's derivatives at a single point.

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The Economist

The Economist is an English-language weekly magazine-format newspaper owned by the Economist Group and edited at offices in London.

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Variance

In probability theory and statistics, variance is the expectation of the squared deviation of a random variable from its mean.

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Warren Buffett

Warren Edward Buffett (born August 30, 1930) is an American business magnate, investor, and philanthropist who serves as the chairman and CEO of Berkshire Hathaway.

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William Poundstone

William Poundstone is an American author, columnist, and skeptic.

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Kelley criterion, Kelly Criterion, Kelly betting, Kelly criteria, Kelly factor, Kelly formula, Kelly gambling.

References

[1] https://en.wikipedia.org/wiki/Kelly_criterion

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