Feature request: implementation of the paper quantized portfolio theory, Kelly optimal portfolio

[KIC]

this library is a nice compendium of various optimal portfolio allocations. I think it would enrich this library even further by implementing a Kelly optimal portfolio following this paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3853181.

[88d52bdba0366127fffca9dfa93895]

Thanks for the suggestion. Surely I will check that paper and consider your suggestion. In my opinion, the Kelly criterion is worth trying.