That sounds equivalent to kelly criterion, that most of your bankroll is in a low variance strategy and some proportion of your bankroll is spread across strategies with varying amounts of higher variance. Is there any existing work on kelly optimization over distributions rather than points?
edit: full kelly allows you to get up to 6 outcomes before you’re in 5th degree polynomial land which is no fun. So I guess you need to choose your points well. http://www.elem.com/~btilly/kelly-criterion/
That sounds equivalent to kelly criterion, that most of your bankroll is in a low variance strategy and some proportion of your bankroll is spread across strategies with varying amounts of higher variance. Is there any existing work on kelly optimization over distributions rather than points?
edit: full kelly allows you to get up to 6 outcomes before you’re in 5th degree polynomial land which is no fun. So I guess you need to choose your points well. http://www.elem.com/~btilly/kelly-criterion/
Good question. I don’t know.