kelly_fraction¶

Defined in fynance.portfolio.sizing

kelly_fraction(returns, fraction=1.0)[source]

Fractional Kelly leverage from a return series.

Under a Gaussian approximation the growth-optimal leverage is \(f^\star = \mu / \sigma^2\); fraction scales it down (fractional Kelly, e.g. 0.5 for half-Kelly).

Parameters:

returnsarray_like: Series of (arithmetic) returns.
fractionfloat, optional: Multiplier on the full Kelly leverage. Default 1.0.

Returns:

float: Kelly leverage (0 if the variance is null).

Examples

>>> import numpy as np
>>> r = np.array([0.01, -0.02, 0.03, 0.00, 0.02])
>>> round(kelly_fraction(r, fraction=0.5), 4)
13.5135