Skip to content

madeinquant/Kelly-Criterion-For-Optimal-Portfolio-Weight-With-No-Short-Sales-with-mathematica

Repository files navigation

Kelly Criterion for Optimal Portfolio Weights with No Short Sales.

This notebook shows the relationship between Markowitz portfolio optimization and Kelly optimization. It is based on the whitepaper by Dr Thomas Starke. All calculation are written in Mathematica 10.

About

No description, website, or topics provided.

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published