Kelly Bet Sizing

The Kelly Criterion is a formula for bet sizing that leads to optimal expected wealth. The Kelly bet size is computed by maximising for the expected value of log(wealth). In the book, Dandho Investor, superstar investor Mohnish Pabrai devoted an entire chapter.

While most calculators compute the Kelly Criterion in terms of odds and edges (gambling terminology), this calculator is designed to work in terms of current and future prices (investing parlance).