MediumPortfolio & RiskAcceptance 59%

Kelly Criterion

CitadelJane Street

You can repeatedly make an even-money bet (win or lose the amount staked) that you win with probability 60%. What fraction of your bankroll should you bet each time to maximize long-run growth?

Approach

Maximize expected log-wealth.

For even money, f* = 2p − 1.

Answer

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