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Given return of a portfolio or a single asset modeled as a continuous, but not necessarily gaussian, probability distribution, what's the Kelly criterion equation?

I've heard that it's simply the the ratio of the sharpe ratio to the standard deviation. Is it true?

Kevvy Kim
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    This was already discussed here http://quant.stackexchange.com/a/7199 – RRG Apr 03 '17 at 09:08
  • This is discussed (among other places) in the book Investment Science by Luenberger – nbbo2 Apr 03 '17 at 13:55
  • It is only true if there is a second moment in the distribution. Given the data and papers on the topic, that claim would be very dubious. – Dave Harris Apr 04 '17 at 04:39
  • The Sharpe Ratio is a rough but good approximation. In regard to approximating optimal bet size, the world of professional gambling is ahead of canonical portfolio managers. For a good essay on how this works, I recommend: https://wizardofodds.com/gambling/kelly-criterion/. – David Addison Apr 19 '17 at 23:42

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