Sounds like a trick question. C?
Anyways back on CLT:
I ran my calculations of the odds of success for CLT through a Kelly formula and it says to bet 75% of the portfolio. I'm yet to find an optimal fraction of Kelly which informs the portfolio weighting matrix.
Perhaps 1/10th of Kelly is appropriate, but that means not betting more than 10% on a sure bet.
If you have worked out an optimal formula for position sizing please let me know - it's on the to do list!
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