kelly_criterion {RKelly}

The Kelly criterion

Description

The Kelly criterion

Usage

kelly_criterion(p, alpha_w, alpha_l)

Arguments

p

The objective probability of the event

alpha_w

The return multiplier in case of the event happening

alpha_l

The return multiplier in case of the event not happening

Value

The Kelly optimised fraction of the bankroll that should be bet

References

Thorp, Edward O. (1997; revised 1998). The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market. http://www.eecs.harvard.edu/cs286r/courses/fall12/papers/Thorpe_KellyCriterion2007.pdf

Examples

kelly_criterion(0.5,1,1)