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Kenny's avatar

There’s no shortage of investment ideas on Substack, but less discussion on how to actually construct a portfolio. In my view, the Kelly Formula is a very useful tool for this, and you’ve done a great job outlining its benefits, pitfalls, and practical application. I especially appreciated the simulations showing how different bet sizes compound over time.

P.S. Your point—"Treat the Kelly criterion as a thought experiment rather than a mechanical exercise."—is spot on. Since the odds in investing can’t be precisely known but only estimated, using Kelly as a flexible framework—not a rigid formula—is the right approach.

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Oliver Sung's avatar

Thanks a lot, Kenny!

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