Journal of Investment Strategies

Confidence intervals for the Kelly criterion

Euan C. Sinclair


Investing according to the Kelly criterion will theoretically outperform any other sizing strategy. However, the value of the optimal fraction will generally need to be estimated from empirical data. This means that the estimate will invariably have a degree of uncertainty attached to it. In this paper the authors show how to calculate the variance of the estimated Kelly criterion ratio.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: