Kelly is a wonderful concept. But requires *serious* mathematical heavy lifting to correctly adapt to correlation among bets and time frames. It’s 100% the correct approach to portfolio construction. But most of the literature just focuses on the contrived, naive, univariate form
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Also, as Cliff Asness has said, most risk comes from (1) mis-estimating information about the properties of your bet and, (2) over-betting on that information for any given level of quality / accuracy
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amen
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This goes along with something I’ve held close since I first heard it many years ago. One who knows, knows they know nothing. Knowledge appears to be infinite it’s good to keep one’s mind open for this reason alone.
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