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Statistical arbitrage and factor models· 4 of 4

Statistical arbitrage and factor models

Position sizing and the Kelly criterion

Maximize the expected logarithmic growth rate of capital while controlling risk of ruin using fractional Kelly allocations.


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This one opens once you have finished Quantitative time series and signals and Event-driven backtesting and execution.

Progress is kept against your account, so finishing a module needs one. Everything up to here is open without.