As I recall the take-home number from the Thorp was that one should take on about 30% leverage, but that is a long-ago recollection, without any of the caveats which may have accompanied the original.
On Thu, Sep 16, 2010 at 10:51 AM, Steven Taylor <[email protected]> wrote: > Raul: "The trick, of course, lies in determining the probability of > success." > > Once upon a time, I saw Kelly give a trader too much confidence ;-) > > -Steven > ---------------------------------------------------------------------- > For information about J forums see http://www.jsoftware.com/forums.htm > -- Devon McCormick, CFA ^me^ at acm. org is my preferred e-mail ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
