Kelly Betting with Constraints
A revised Kelly optimization is proposed that includes a probabilistic recovery constraint, balancing long-term growth with short-term recovery risk, especially beneficial for strategies with skewed returns like short volatility or insurance underwriting.
Featured in No. 100 on 4 Jun 2025 · 1 day after release
- Released
- 3 Jun 2025
- First featured
- No. 100 · 4 Jun 2025
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- SSRN 5281529
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