Application of Kelly Сriterion to Portfolio Management. ML Based Model, Backtesting, Validation

Student: Ignatovich German

Educational Programme: Financial Analyst (Master)

Final Grade: 7

Year of Graduation: 2024

This study examines the Kelly criterion integrated with machine learning (ML) models, specifically boosting classifiers. To this end, the labeling of continuous stock data into classes is investigated and applied, factors are selected for training, and model evaluation methods are considered for selection and further correction. Through the examination of the Kelly criterion, a strategy with the Kelly criterion and classifier is proposed and backtested, which is compared with other strategies.

Full text (added May 19, 2024)

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