Mizzlr/kelly_code

Code and examples for the project on risk-constrained Kelly gambling

Risk-constrained Kelly Gambling

Code and examples for "Risk-Constrained Kelly Gambling". E. Busseti, E. Ryu, S. Boyd, 2016. The results and plots are embedded in the code (links for nbviewer rendering):

• finite_outcome.ipynb for the finite returns distribution (section 7.1 of the paper)
• infinite_outcome.ipynb for the general returns distribution (section 7.2 of the paper).