Sizing the bets in a focused portfolio
By Vuko Vukčević, Robert Keser
Rating
1378
Battle Count: 14
Relevance
8/10
Highly relevant for long-term focused investing strategies, but less applicable to high-frequency trading
Implementation Complexity
7/10
Requires advanced mathematical understanding and programming skills, but software is provided
Reproducibility
4/5
Mathematical model and numerical procedure are well-described, software is publicly available
About this paper
Methodology: Generalized Kelly Criterion. Problem types: Portfolio Optimization, Risk Management.
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