Robert A789 Mitchell#53

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What is Kelly optimization in trading portfolios?

Kelly optimization applies the Kelly criterion across portfolios to maximize long-term growth. It allocates capital based on probabilities and payoff ratios across multiple systems. While powerful, full Kelly is aggressive and can cause high volatility. Traders often use half-Kelly or fractional Kelly to balance growth and drawdowns. Portfolio Kelly optimization requires advanced statistical analysis but helps traders allocate resources efficiently across diversified strategies.