5344金融与交易简单数值题short
Kelly Fraction With Two Upside States
题目
A repeatable trade stakes a fraction f of capital each round. With probability 0.30 the staked amount gains 200%, with probability 0.30 it gains 50%, and with probability 0.40 it loses 100%. Ignoring leverage caps, what full-Kelly fraction f maximizes expected log growth?
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