Search found 8 matches

by PS
Thu Sep 16, 2004 9:14 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123216

>I think the basics are supremely important. >If one impregnates a model with certain assumptions that have nothing >to do with >reality, the real world results would not be very pleasant. I agree with you on 200%. The purpose of my post was to figure out which optimal fixed fraction betting strateg...
by PS
Thu Sep 16, 2004 9:45 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123216

>What is optimal is not some exact magic number, it’s simply a none >stationary line in the sand that separates optimal and none optimal >regions; It seems we are talking about different stages in modeling process. There are three stages. On the first stage the assuptions are made about time unit,...
by PS
Wed Sep 15, 2004 10:12 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123216

>Controlling risk is the absolute number one priority, not optimization. Although >important, optimization is only secondary in importance. 1. Any problem of risk management/control can be re-formulated as some optimization problem. 2. The same risk control procedure that is applied to Kelly’s val...
by PS
Wed Sep 15, 2004 10:03 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123216

Please note, there are some difference in the both problems. I am trying to consider the realistic model in which we have not only probabilities of Win/Lose and corresponding amounts W/L, but also fixed time horizon , our target (profit we want) on this horizon, and our bankroll (money we are willin...
by PS
Tue Sep 14, 2004 10:24 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123216

Optimality???

Thank you for some clarification. I am trying to consider the optimality from a practical point of view. Any gambler and/or trader want to maximize her/his chances to reach a target on a time interval and minimize her/his chances to loose her/his capital at risk (bankroll). The preferences (risk tol...
by PS
Tue Sep 14, 2004 3:20 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123216

Thank you for your reply. I agree with you that the answer depends on the criteria of optimality. As far as the topic is fixed-fraction betting and we want to reach our goals, so there are at least two criteria. The first criterion is to minimize the probability to lose the inital capital (bankroll)...
by PS
Mon Sep 13, 2004 11:14 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123216

Dear Admin, >I'm not trying to be rude, but did you read the posts in this topic? I very carefully read the posts in this topic. And this is the reason why I had placed my post. By the way, did you read my post CAREFULLY? >They answer your question pretty well and address the Kelly Formula >specific...
by PS
Mon Sep 13, 2004 9:27 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123216

About the optimal betting system

Is the Kelly's System Optimal? On the one hand there are many articles with some proofs of this, but on the other hand there are many fixed fraction bets calculators, which show different values than Kelly's values. Can anyone to clarify this point? Which betting system is the optimal one? Thank you...