You are right, but with execution risk / slippage it gets closer to 2x (2x and 3x are both close to 2.5x, but 2x has been performing better in the past).
Yes it can. Kelly can be applied to determine optimal leverage ratios. Assuming a risk free rate of zero, that formula is expected return divided by expected variance.
so 10% expected return and 10% expected volatility, optimal Kelly is 10x leverage.
Seriously. Full Kelly betting involves the use of significant leverage. The correct Kelly bet on the S&P index would be long 2.5x your total wealth.
You are right, but with execution risk / slippage it gets closer to 2x (2x and 3x are both close to 2.5x, but 2x has been performing better in the past).
This result depends on assumptions about the future that would not sit easy with me.
I can't tell you if democrats or republicans will win, but I'm quite confident that QE won't stop.
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it literally can't tell you to bet more than your bankroll.
if you include margin in your bankroll, well, that's on your head.
Yes it can. Kelly can be applied to determine optimal leverage ratios. Assuming a risk free rate of zero, that formula is expected return divided by expected variance.
so 10% expected return and 10% expected volatility, optimal Kelly is 10x leverage.