Practical Implementation of the Kelly Criterion: Optimal Growth Rate, Number of Trades, and Rebalancing Frequency for Equity Portfolios
We develop a general framework to apply the Kelly criterion to the stock market data, and consequently, to portfolio optimization. Under few conditions, using Monte Carlo simulations with different scenarios we prove that the Kelly criterion beats any other approach in many aspects. In particular, i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2020-10-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/article/10.3389/fams.2020.577050/full |