Kelly optimal with uncertainty
 Share
The version of the browser you are using is no longer supported. Please upgrade to a supported browser.Dismiss

 
View only
 
 
ABCDEFGHIJKLMNOPQRSTUVWXYZ
1
2
3
4
Annual SR0.5
5
Annual Standard deviation
10.00%
6
7
Monthly SR0.1443375673
8
Monthly Standard deviation
0.02886751346
9
10
N120Months
11
12
Variance of SR estimate
0.008420138889
13
Std dev of SR estimate
0.09176131477
14
Annual std dev of SR estimate
0.3178705187
15
16
CISR
Sharpe Ratio and Kelly optimal risk target:
17
0.250.2855995932
18
19
Distribution of SR estimate
20
SRcum
prob lnterval
21
-0.4540.001349898032
22
-0.4220.00186581330.0005159152688
23
-0.3900.002555130330.00068931703
24
-0.3580.0034669738030.0009118434726
25
-0.3260.0046611880240.001194214221
26
-0.2950.0062096653260.001548477302
27
-0.2630.0081975359250.001987870599
28
-0.2310.010724110020.002526574097
29
-0.1990.013903447510.003179337492
30
-0.1680.017864420560.003960973049
31
-0.1360.022750131950.004885711385
32
-0.1040.028716559820.005966427868
33
-0.0720.035930319110.007213759297
34
-0.0400.044565462760.008635143646
35
-0.0090.05479929170.01023382894
36
0.0230.066807201270.01200790957
37
0.0550.080756659230.01394945796
38
0.0870.096800484590.01604382535
39
0.1190.11506967020.01826918564
40
0.1500.13566606090.02059639072
41
0.1820.15865525390.02298919299
42
0.2140.18406012530.02540487142
43
0.2460.21185539860.02779527324
44
0.2770.24196365220.03010825364
45
0.3090.27425311780.03228946553
46
0.3410.30853753870.03428442098
47
0.3730.34457825840.03604071966
48
0.4050.38208857780.03751031942
49
0.4360.42074029060.03865171275
50
0.4680.46017216270.03943187216
51
0.5000.50.03982783728
52
0.5320.53982783730.03982783728
53
0.5640.57925970940.03943187216
54
0.5950.61791142220.03865171275
55
0.6270.65542174160.03751031942
56
0.6590.69146246130.03604071966
57
0.6910.72574688220.03428442098
58
0.7230.75803634780.03228946553
59
0.7540.78814460140.03010825364
60
0.7860.81593987470.02779527324
61
0.8180.84134474610.02540487142
62
0.8500.86433393910.02298919299
63
0.8810.88493032980.02059639072
64
0.9130.90319951540.01826918564
65
0.9450.91924334080.01604382535
66
0.9770.93319279870.01394945796
67
1.0090.94520070830.01200790957
68
1.0400.95543453720.01023382894
69
1.0720.96406968090.008635143646
70
1.1040.97128344020.007213759297
71
1.1360.97724986810.005966427868
72
1.1680.98213557940.004885711385
73
1.1990.98609655250.003960973049
74
1.2310.989275890.003179337492
75
1.2630.99180246410.002526574097
76
1.2950.99379033470.001987870599
77
1.3260.9953388120.001548477302
78
1.3580.99653302620.001194214221
79
1.3900.99744486970.0009118434726
80
1.4220.99813418670.00068931703
81
1.4540.9986501020.0005159152688
82
83
84
85
MeanKelly leverage
prob lnterval
86
-0.04536115561-4.536115561
87
-0.04218245043-4.2182450430.0005159152688
88
-0.03900374524-3.9003745240.00068931703
89
-0.03582504005-3.5825040050.0009118434726
90
-0.03264633487-3.2646334870.001194214221
91
-0.02946762968-2.9467629680.001548477302
92
-0.02628892449-2.6288924490.001987870599
93
-0.0231102193-2.311021930.002526574097
94
-0.01993151412-1.9931514120.003179337492
95
-0.01675280893-1.6752808930.003960973049
96
-0.01357410374-1.3574103740.004885711385
97
-0.01039539856-1.0395398560.005966427868
98
-0.007216693368-0.72166933680.007213759297
99
-0.004037988181-0.40379881810.008635143646
100
-0.000859282994-0.08592829940.01023382894
Loading...
 
 
 
Sheet1
 
 
Main menu