The Kelly criterion

Quant Trading Strategies & Ideas
1

Hello there:



 I have heard the term "" Kely Criterion""… what is that ?? could you provide some bibliography on that please??    and also… is there any courses on quantra that teach that???



Thanks

2

Hi Ghery,



The Kelly Criterion is used to determine the optimal position sizing for a particular stock or portfolio of stocks. The basic idea is to use the Kelly formula to calculate the optimal amount of capital to allocate to each stock in order to maximize long-term growth in wealth.



Quantra courses that cover kelly criterion:

1. Quantitative Portfolio Management

2. Position Sizing in Trading



Hope this helps!



Thanks,

Rushda Ansari