This is a summary of links featured on Quantocracy on Friday, 09/29/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Kelly Criterion Does It Work? [QuantStrat TradeR]This post will be about implementing and investigating the running Kelly Criterion that is, a constantly adjusted Kelly Criterion that changes as a strategy realizes returns. For those not familiar with the Kelly Criterion, its the idea of adjusting a bet size to maximize a strategys long term growth rate. Both https://en.wikipedia.org/wiki/Kelly_criterionWikipedia and Investopedia have