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kelly - 1 2 3 4 5 6 7 8 9 A B C D E F G Volatility Pumping...

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Volatility Pumping Max E(Ln(R)) weights stock 1 stock 2 Total 1.12 0.5 0.5 1 = Prob Stock 1 Stock 2 Ln(R) 0.25 up up 1 1 2 0.69 0.25 up down 1 0.25 1.25 0.22 0.25 down down 0.25 0.25 0.5 -0.69 0.25 down up 0.25 1 1.25 0.22 E(Ln(R)) 0.11 e m Stock 1 Value Stock 2 Value Growth factor (R) A B C D E F G 1 2 3 4 5 6 7 8 9
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%age stock 1 #ADDIN? Growth rate #ADDIN? Year Beginning Stock 1? Stock 2? Final Position 1 $1.00 #ADDIN? #ADDIN? #ADDIN? 2 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 3 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 4 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 5 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 6 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 7 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 8 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 9 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 10 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 11 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 12 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 13 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 1.12 14 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 15 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 16 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 17 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 18 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 19 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 20 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 21 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 22 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 23 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 24 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 25 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 26 #ADDIN? #ADDIN? #ADDIN? #ADDIN? 27 #ADDIN? #ADDIN? #ADDIN?
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