The Skinny On Options Math - September 1, 2021 - Kelly with Uncertainty

published 3 weeks ago by tastytrade, Inc.

The Kelly Criterion provides the optimal sizing for trades to achieve long term growth, but assumes that we go into trades knowing our edge exactly. Today, Jacob joins Tom and Tony to examine how a skeptical trader might go about applying the Kelly Criterion and relate it to a perfect application by the Kullback-Leibler divergence or relative entropy.

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