Risk and position sizing
Kelly, fractional Kelly, drawdown control, and the math of not blowing up.
| Citation | Paper | Access | Difficulty | Score |
|---|---|---|---|---|
| Bailey & Prado (2014) | Drawdown-Based Stop-Outs and the 'Triple Penance' Rule Journal of Risk | Free | Moderate | 0 |
| MacLean et al. (2010) | Long-term Capital Growth: The Good and Bad Properties of the Kelly and Fractional Kelly Capital Growth Criteria Quantitative Finance | Paywalled | Moderate | 0 |
| Thorp (2006) | The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market Handbook of Asset and Liability Management, Volume 1 (Elsevier) | Free | Moderate | 0 |
| Rotando & Thorp (1992) | The Kelly Criterion and the Stock Market American Mathematical Monthly | Paywalled | Moderate | 0 |
| Markowitz (1952) | Portfolio Selection Journal of Finance | Paywalled | Moderate | 0 |