Kelly Growth-Security Frontier
workflow.run_kelly_frontierKelly growth-security frontier (MacLean, Ziemba & Blazenko 1992): for a strategy compounding at a fraction lambda of full Kelly, the probability wealth ever falls to a fraction alpha of its starting value is P = alpha^(2/lambda-1). Provide either lambda_fraction (to compute that probability) or max_probability (to solve for the largest lambda that keeps the ruin probability at or below it). Use when user asks "if I bet half-Kelly, what's my chance of ever losing half my bankroll?" or "what fraction of Kelly keeps my chance of a 50% drawdown under 5%?". Valid lambda range is (0, 2]; beyond 2 the probability is certain (1), not the raw formula value. Returns: probability, lambda_fraction (echoed or solved).
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| alpha | Yes | Fraction of starting capital, 0-1 exclusive (e.g. 0.5 = "ever falls to half my starting bankroll") | |
| lambda_fraction | No | Fraction of full Kelly being bet (1 = full Kelly, 0.5 = half Kelly). Provide this OR max_probability, not both. | |
| max_probability | No | Target ceiling on the ruin probability, 0-1 exclusive. Provide this to solve for the safe lambda_fraction instead of supplying it directly. |