Kelly Criterion formula

• f : Optimal Investment Size → 최적 betting 규모

• p : Winning Probability → 승률(%)

• q : Losing Probability (q = 1-p) → 실패율(%)

• a : Loss of Negative Outcome → 실패시 (원금 대비) 손실율(%)

• b : Gain of Positive Outcome → 승리시 (원금 대비) 수익률(%)

캘리 공식은

• 동일한 게임을 반복할 때

• 주어진 확률 분포에서

• 최적 투자금액(비율)을 계산하는 공식이다.

What is the Kelly criterion?

The Kelly criterion is a theoretical formula for obtaining the best return when repeatedly investing money. Sizing an investment according to the Kelly criterion can theoretically yield the best results.

Risks

The Kelly criterion requires clearly the ...