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5758Sensitivity of Kelly Fraction to the EdgeFor a binary bet at net odds b=2, the full-Kelly fraction is f*=(bp-q)/b. By how much does f* change per 0.01 increase in the estimated win probability p? Give the derivative df*/dp and the change for a 0.01 move.金融与交易中等数值题未尝试免费5759Kelly Sizing When the Win Probability Is UncertainFor an even-money bet you are unsure of the true win probability: it is equally likely to be 0.52 or 0.62. A colleague plugs the average estimate 0.57 into the Kelly formula and bets 0.14 of capital. To maximize expected log growth you should instead average the realized growth over the two possible true probabilities. Set up the correct objective and state, with a brief reason, whether the growth-optimal stake is at, above, or below 0.14.金融与交易困难数值题未尝试面试订阅