R. J. Ryan

Conformal Kelly: Conformal Prediction Intervals as the Scale in Fractional Kelly Position Sizing

Conformal prediction has traditionally been used to quantify prediction uncertainty. We put that uncertainty to a second use, combining a 75% conformal interval with fractional Kelly to size portfolio positions: as the range widens we shrink the position, and as it narrows we grow it. On a six-year development window (...