Position Sizing Utilizing the Kelly Growth Criterion

From market folly
January 16, 2013 - 2:34pm

Investing is a continual education and from time to time we like to highlight concepts on refining investment process.  Today we present a piece on position sizing utilizing the Kelly Growth Criterion.  The following is a guest post from Kyle Mowery, who founded GrizzlyRock Capital in 2011 as a long / short manager investing in corporate debt and equity securities.  He can be reached at kyle@grizzlyrockcapital.com or at www.grizzlyrockcapital.com. Position Sizing Utilizing the Kelly Growth Criterion   One of the more vexing tasks for investment allocators is position sizing. Regardless whether allocators select investment managers or individual securities, optimal position sizing is paramount to portfolio success. Small allocations to prescient investments minimize their impact while large allocations to poorly performing investments leads to underperformanc...


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