kelly-criterion

Applying the Kelly Criterion for optimal capital allocation

This IPython Notebook demonstrates the application of the Kelly Criterion, a mathematical formula used for optimal capital allocation, to a financial dataset. The Kelly Criterion is particularly relevant in investment strategies where maximizing returns while managing risk is essential.

Sections:

1. Introduction
2. Kelly Criterion Formula
3. Detailed explanation of the Kelly Criterion formula
4. Adapting Kelly Criterion to the Stock Market
5. Python Implementation of Kelly Strategy
6. Results and Visualization

Acknowledgments:

1. Python for Algorithmic Trading book by O'Reilly
2. Python for Finance -- Mastering Data-Driven Finance (2nd edition) by Yves Hilpisch.
3. Andrew Brown, https://www.youtube.com/watch?v=1yqsvvhzoV0