I was reading Kyle Mowery's blog post as it relates to investing but I find it hard to reconcile two things:
- 1. The outcome is assumed to have no relationship to any other investment you make ? Not a good idea...
and
- 2. (Based on what ?) you "specify a time period before entering a position ?"
Quote:
Nassim Taleb lavishes praise on the Kelly Growth Criterion: “Kelly’s method requires no joint distribution or utility function. In practice one needs the ratio of expected profit to worst-case return – dynamically adjusted to avoid ruin.”
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