Kelly-Optimal Cryptocurrency Portfolios with Multiple Assets

A Case Study using Bitcoin, Ethereum, Cardano, and more.

Alex Powell
Geek Culture
Published in
7 min readMar 11, 2021

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Covariances between cryptocurrencies and defi tokens. Created by author using PyPortfolioOpt.

Introduction

The Kelly criterion is a well-known strategy for sizing bets to maximize long-run expected log wealth. It is widely applied to sports betting and casino gambling. Most sources provide coverage only for the single-asset…

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Alex Powell
Geek Culture

I write about data science, stats, ML, software, programming, and computing.