Portfolio Optimization
Position sizing (Kelly) · risk-return construction (Efficient Frontier) · Bayesian views (Black-Litterman)You're solving: “How much of each stock should I own, and how much risk am I taking on?” — Kelly gives the mathematically optimal bet size per position based on your edge and win rate. Efficient Frontier shows every possible portfolio and highlights which ones give the best return per unit of risk (the Sharpe-optimal portfolio). Black-Littermanlets you blend your own views (“I'm bullish on NVDA”) with the market's consensus weighting so your conviction adjusts allocations without abandoning diversification.
What it does:Given a strategy's historical win rate + payoff ratio, compute the Kelly fraction — the theoretically-optimal % of capital to bet per trade for maximum long-term geometric growth. Full Kelly is aggressive; most quant funds use quarter Kelly in practice.