Comment by sigstoat
4 years ago
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.
4 years ago
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.