Probability

1 tool in the Statistics area.

Kelly Criterion

The Kelly criterion for a repeated opportunity with a known payoff: the probability the quoted payoff implies, the edge against your own estimate of the true probability, the expected value of a unit stake, the Kelly fraction that maximizes the long-run growth of capital and the fractional Kelly stake used in practice, and a Monte Carlo simulation of the capital over a series of trials showing the median path, the spread and the chance of a deep drawdown. The payoff may be entered in moneyline, decimal or fractional form.

Other Statistics sections

Descriptive and Outliers · Hypothesis Tests · Regression and Modelling · Distributions · Forecasting · Surveys and Sampling · Uncertainty and Monte Carlo