
Kelly Criterion in detail - luu
http://www.elem.com/~btilly/kelly-criterion/
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danieltillett
Understanding the Kelly criterion is essential for any investor. I first came
across it years ago after I lost around $1500 “investing" in a leveraged
paired share trade. I was right on the direction of the overall movement of
the shares (one up, one down) yet I still lost money. At the time I could not
understand how I could be both right and still lose money - then I learned
about the Kelly criterion. It was the best $1500 investment I ever made.

