Statements (37)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:mathematical_concept
betting system |
| gptkbp:alternativeTo |
fixed fractional betting
fractional Kelly |
| gptkbp:appliesTo |
investments
repeated bets |
| gptkbp:criticizedFor |
assumes accurate estimation of probabilities
assumes no betting limits |
| gptkbp:effect |
maximizes expected logarithm of wealth
|
| gptkbp:field |
gptkb:probability_theory
finance gambling |
| gptkbp:form |
f* = (bp - q)/b
|
| https://www.w3.org/2000/01/rdf-schema#label |
Kelly criterion
|
| gptkbp:influenced |
risk management
quantitative finance modern portfolio theory |
| gptkbp:influencedBy |
gptkb:Claude_Shannon
gptkb:information_theory |
| gptkbp:location |
b is the net odds received on the wager
f* is the fraction of capital to wager p is the probability of winning q is the probability of losing (q = 1 - p) |
| gptkbp:namedAfter |
gptkb:John_L._Kelly,_Jr.
|
| gptkbp:publicationYear |
1956
|
| gptkbp:publishedIn |
gptkb:Bell_System_Technical_Journal
|
| gptkbp:purpose |
maximize long-term capital growth
|
| gptkbp:relatedTo |
gptkb:information_theory
expected value portfolio optimization logarithmic utility |
| gptkbp:riskFactor |
can lead to large drawdowns
|
| gptkbp:usedBy |
gptkb:merchant
investors gamblers |
| gptkbp:bfsParent |
gptkb:John_L._Kelly
|
| gptkbp:bfsLayer |
6
|