A New Interpretation of Information Rate
BeginnerAny horizonTheoryTestable with your data
Bet the fraction that maximises the growth rate of log wealth. The basis of position sizing; most practitioners use a fraction of Kelly.
At a glance
- Level
- Beginner: No prior microstructure or stochastic calculus needed
- Horizon
- Any horizon
- Data needed
- None to read it; no dataset required Set what data you have
- Themes
- Risk & portfolio
- Assets
- Equities
- Market
- Global