I found this paper from 1992 that states In their application to the U.S. stock market, Thorp & Rotando compute a Kelly fraction of around 117% (i.e. ~$1.17 invested for each $1 of equity) for the S&P 500, assuming margin at the T-bill rate for leverage to your portfolio.
https://pages.stern.nyu.edu/~afrazzin/p ... dersen.pdf
I've heard Frank state on https://www.riskparityradio.com/ that the optimal multiple is around the golden ratio of 1.6. Does anyone have a link or paper that shows something different that would prove a different multiple?
Does this only apply to stocks? Would you have to compute another ratio for Bonds and alternative assets and then combine them to an overall number for your total portfolio?
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