How To Master the Art of Risk Management [feat. Gambler's Ruin and Kelly Betting]

Written by punk | Published 2019/12/04
Tech Story Tags: risk-management | cryptotrading | trading-strategies | risk-mitigation | gaming | financial-services | trading-algorithms | hackernoon-top-story

TLDR A simple coin-tossing game can be simulated using the famous Kelly Criterion to find the optimal bet size. The Kelly Bet can be derived as the Kelly Bet fKelly = 2p − 1.5. We simulate a coin toss game with an unfair coin in which winning probability p is 70% and the profit is set at 70%. After a number of runs of the game, the final equity CN becomes a final equity of the player’s initial equity. We would like to maximize the expected long-term growth rate i.e.via the TL;DR App
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Published by HackerNoon on 2019/12/04
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