Half-Kelly Multiplier
Valore Standard
Multiplier = 0.5 (metà del Full Kelly)
Formula
Target Vol = (Sharpe Ratio) × 0.5
Invece di Full Kelly:
Target Vol = Sharpe Ratio × 1.0
Perche 0.5?
Full Kelly problemi: 1. Alta probabilita rovina: 10% chance lose 50% capital (10 anni, SR 0.5) 2. Sensitivity to SR errors: Piccoli errori → large impact 3. Drawdown psicologici: Insostenibili per most traders 4. Bad luck vulnerability: Unlucky streak → wipeout
Half-Kelly benefits: 1. Ruin probability ridotta: ~10% → ~3% 2. Robustezza: Errors in SR less catastrophic 3. Drawdown gestibili: 2× smaller di Full Kelly 4. Still good returns: 75% dei Full Kelly returns
Probability Comparison
SR 0.5, 10 anni:
| Multiplier | Target Vol | Prob Lose 50% | Prob Lose 90% |
|---|---|---|---|
| 0.25 (Quarter) | 12.5% | <1% | <1% |
| 0.5 (Half) | 25% | 10% | 1.1% |
| 1.0 (Full) | 50% | 40% | 22% |
| 2.0 (Double) | 100% | 93% | 88% |
Half-Kelly: Sweet spot tra growth e safety.
Expected Returns
SR 0.5 con diversi multipliers:
| Multiplier | Vol Target | Expected Return |
|---|---|---|
| 0.25 | 12.5% | ~6% |
| 0.50 | 25% | ~12% |
| 1.00 | 50% | ~25% |
Half-Kelly: Metà return di Full Kelly, ma molto meno risk.
Quarter-Kelly (0.25)
Per negative skew strategies:
Target = SR × 0.25
Quando usare: - Option selling - Carry strategies - Any negative skew
Conservative Alternative (0.33)
Alcuni traders usano:
Target = SR × 0.33
Ancora piu conservativo, ma: - Returns ridotti significantly - Forse troppo cauto
Professional Practice
Real-world usage: - Retail: 0.25-0.50 typical - Professional: 0.25-0.50 (!!) - Aggressive: 0.50-0.75 - Reckless: 1.0+
Nessuno serio usa Full Kelly.
Adjustment for Uncertainty
Effective Multiplier = 0.5 × Confidence Factor
Confidence factors: - High confidence (10+ years data, robust): 1.0 - Medium (5 years, some concerns): 0.8 - Low (2-3 years, overfitting suspected): 0.6
Dynamic Kelly
Non raccomandato: Adjusting multiplier based on performance.
Rischio: Meddling - Increase quando winning (overconfidence) - Decrease quando losing (lack faith)
Meglio: Set once, never change.
Concetti Correlati
- [[Kelly Criterion]] - formula base
- [[Volatility Targets]] - output del calculation
- [[Sharpe Ratio]] - input principale
- [[Skew]] - richiede ulteriore reduction