PA - Global Macro

PA - Global Macro

On Trade Sizing

If in doubt go smaller

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Paper Alfa
Feb 03, 2023
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I am sure everyone reading this has pondered how to derive the best possible trade size when investing. There is a significant bank of theory around the mathematical realities of gambling, such as the well-known Kelly criterion. However, the crux of the matter is that all those theories do not consider the non-binary nature of financial markets or their…

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