Sizing the bets in a focused portfolio

By Vuko Vukčević, Robert Keser

Published 2024-02-23

Everscope rating

1388.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Generalized Kelly Criterion. Problem types: Portfolio Optimization, Risk Management.

arXiv:2402.15588 · Code · Paper rankings

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