From what I can tell “Kelly Criterion” originally applied to one bankroll and a single repeated bet.
It seems the choosing the optimal strategy for allocating a portfolio to maximise growth is often called “Kelly style”, “Kelly strategies”, “Kelly methods”, and also “Kelly criterion” by some people (which is why I was confused).
The details of an optimal strategy are completely different depending upon your assumptions (how reallocation is performed as new information is received, accounting for error in predicted outcomes, blah blah blah) so there cannot be a single definition for the Kelly Criterion for a portfolio, instead there are a variety of strategies (each with different assumptions and constraints).
For example the “many assets” model you refer to looks like it models a single market correlation (alpha), and not the multiple correlations within a real market.
Disclaimer: I am not an investment professional, but a small amount of software experience with hedge fund NAV calculations.
From what I can tell “Kelly Criterion” originally applied to one bankroll and a single repeated bet.
It seems the choosing the optimal strategy for allocating a portfolio to maximise growth is often called “Kelly style”, “Kelly strategies”, “Kelly methods”, and also “Kelly criterion” by some people (which is why I was confused).
The details of an optimal strategy are completely different depending upon your assumptions (how reallocation is performed as new information is received, accounting for error in predicted outcomes, blah blah blah) so there cannot be a single definition for the Kelly Criterion for a portfolio, instead there are a variety of strategies (each with different assumptions and constraints).
For example the “many assets” model you refer to looks like it models a single market correlation (alpha), and not the multiple correlations within a real market.
Disclaimer: I am not an investment professional, but a small amount of software experience with hedge fund NAV calculations.