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Numerically solve Kelly criterion for multiple simultaneous bets

Since its discovery a few decades ago, the Kelly criterion has become a reference for professional gamblers and speculators alike. This very simple formula calculates the fraction of risk capital which should be allocated on a single bet in order to maximise long term returns. But, can this approach be extended to the case of simultaneous independent bets which are quite common in investing or sports betting? In this short piece, we will look into a numerical method to calculate the optimal risk allocation across multiple bets based on Kelly's approach, and run through an intuitive analysis of the results.

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