search

Marigold / universal-portfolios

Collection of algorithms for online portfolio selection
Other
779 stars 214 forks source link

Kelly #22

Closed firmai closed 5 years ago

firmai commented 5 years ago

Hi, I know you are not actively working on this project, but I was wondering from your own experience if you have ever gotten the kelly algo to work?

Best regards, Derek

Marigold commented 5 years ago

...if you have ever gotten the kelly algo to work?

It all depends on your inputs - mean return and covariance matrix estimates. If your estimates are crap (like historical means), so will be kelly portfolio.

firmai commented 5 years ago

Excellent thanks.

Marigold commented 5 years ago

Check out this article https://investresolve.com/blog/portfolio-optimization-simple-optimal-methods/, it's an excellent overview of portfolio allocation methods.

firmai commented 5 years ago

Excellent thanks :)