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This article describes a Kelly Criterion simulator that models bankroll evolution across repeated bets, showing how growth, volatility, and drawdowns interact under fixed assumptions. It explains the formula's growth-optimality and its use in betting contexts.
A Columbia University paper introduces a strictly causal Hidden Markov Model that adapts to changing market regimes, achieving a 2.18 Sharpe ratio vs 1.18 for SPX buy & hold and reducing max drawdown from -14.62% to -5.43% during the 2025 selloff.