Edward Thorpe and Ralph Vince both conclude that the Kelly Criterion in the continuous case is excess returns divided by variance, which is pretty close to the Sharpe Ratio, correct?
Asking to understand better, not to be combative. Your comment made it seem like that formula is way off.
Edward Thorpe and Ralph Vince both conclude that the Kelly Criterion in the continuous case is excess returns divided by variance, which is pretty close to the Sharpe Ratio, correct?
Asking to understand better, not to be combative. Your comment made it seem like that formula is way off.