Kelly Criterion optimal betting
Calculates Kelly Criterion optimal bet size given vectors of probabilities and payoffs
In the example shown, a given investment strategy has the following payoffs:
- 10% probability of a 40% loss
- 20% probability of a 20% loss
- 30% probability of no net profit/loss
- 20% probability of a 25% gain
- 20% probability of a 45% gain
Given repeated bets, optimal Kelly Criterion betting is to bet 81% of your bankroll (see chart).
