Kelly-Optimal Cryptocurrency Portfolios with Multiple Assets

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

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…