---
title: Kelly Betting with Constraints
url: https://www.ml-quant.com/papers/ssrn/5281529/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5281529
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5281529
featured: 2025-06-04
citations: unknown
topic: Derivatives & Volatility
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5281529
- Identifier: SSRN 5281529
- Released: 2025-06-03
- First featured: Quant Letter No. 100 (2025-06-04): https://www.ml-quant.com/issues/2025-06-04/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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