Kelly-Thorp betting
a closely connected thread on TECHNOLOGY tree about Short-run versus long-run
- personal web page of Ed Thorp, see also articles there
a good review - chapter 8 by Sinclair
In the long-run Kelly-Thorp criterion makes perfect sense (under simple assumptions of no tail risks, etc.), while in the short-run risk-constrained, target based, Browne strategy is more appropriate.
- articles by Thorp
How does the Fortune’s Formula-Kelly capital growth model perform?
Medium Term Simulations of The Full Kelly and Fractional Kelly Investment Strategies
Good and bad properties of the Kelly criterion by MacLean, Ziemba and Thorp
- articles about Browne strategy
Risk-Constrained Dynamic Active Portfolio Management
Risk-Constrained Kelly Gambling
fresh look at Kelly-Thorp criterion
and new look at the debate between time-average, Kelly-Thorp, versus ensemble average, utility functions (Samuelson)
Evaluating gambles using dynamics
Ole Peters, Murray Gell-Mann
Haghani- Dewey experiment - the realioty and biases!?
Aaron Brown Green eggs and Kelly as well as Optimal betting under uncertainty
p 128 is a good summary of Sid Browne strategy.
Analogy with a binary call with a strike of B, which is targeted profit some away from the current wealth. Browne strategy is initially more aggressive than Kelly, but later on less aggressive. Kelly is 0.69 = (22% - 8%)/(0.45% ^2), while Browne starts with 1.8. The target is to make 50% for 100 days/flips. Interesting how to adopt it when the edge/drift is not well known???
not right but think —- Notice that W is very close to the target it seems that close to 50% will be put on the line?
- Ragullin .... see more papers in attachment