Ep. 750: Eclectic Mega Episode with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
00:00
The Kelly Criterion and the Financial Crisis
The Kelly criterion is a threshold it's the boundary between aggressive betting and insane betting. If you bet any if your if your wager sizes are any bigger than the Kelly bet you are basically reducing your long term expected capital growth rate while of course accepting much greater volatility so there's really no excuse for doing that. Ed Thorpe who really ties together so many of these I mentioned at the beginning of the podcast there's a thread here that's terribly fascinating that there's just no way we can fill up in 30 40 minutes so what but why don't you go ahead and take a few minutes to describe Ed Thorpe and he's really one of the stars of the book which is Ed Thor
Play episode from 25:21
Transcript
