Kelly Simulations New
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7/31/2019 Kelly Simulations New
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7/31/2019 Kelly Simulations New
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1 p $ (O + 1) p
O = 1, 2, 3, 4 and 5
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7/31/2019 Kelly Simulations New
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14% 12.5% 10.2%
T = 40
1.0k
1.0
1.0
f
()
1000 T = 40
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7/31/2019 Kelly Simulations New
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> 5 10102
> 5 102
> 103
> 104
> 105
> 106
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7/31/2019 Kelly Simulations New
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T = 40
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7/31/2019 Kelly Simulations New
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7/31/2019 Kelly Simulations New
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T = 40)
R +12.5%
0.75 1.50
r = 0.0 = 0.4
2.4 = 2.4 $1.4 $1
r = 0.0 x = 2.8655
f
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7/31/2019 Kelly Simulations New
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f
T = 40
1
> 5 10102
> 5 102
> 103
> 104
> 105
> 106
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7/31/2019 Kelly Simulations New
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f = 0.838k
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7/31/2019 Kelly Simulations New
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f = 0.838k
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T = 40)
0 1
1
x = 1.5288 1 x = 0.5228
f f
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f
1.57k),
> 5 10102
> 5 102
> 103
> 104
> 105
> 106
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7/31/2019 Kelly Simulations New
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0.52k
growth = [signWT] ln(|WT|).
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7/31/2019 Kelly Simulations New
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7/31/2019 Kelly Simulations New
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T = 40)
1
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7/31/2019 Kelly Simulations New
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7/31/2019 Kelly Simulations New
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M axx {E(ln(1 + r + x(R r)} ,
R [a, b] r =
b
a
R r
1 + r + x(R r)
1
b adR = 0,
x(b a) = (1 + r)ln
1 + r + x(b r)
1 + r + x(a r)
1 + r + x(b r)
1 + r + x(a r)
1x
= eba
1+r .
a = 0.25, b = 0.5, r = 01+0.5x
10.25x
1x
= e0.75 x = 2.8655. 286.55%
M axx {E(ln(1 + r + x(R r)} ,
R R R r =
x =R r
R.
R = 0.102, R = 0.203, r = 0.039,
x = 1.5288
