Hedge funds and asset management interview card of the day
9 November 2026 · Probability and Market-Making Maths
The interviewer asks
A bet pays 2 to 1 and wins 45% of the time. Your bankroll is 400. How much does full Kelly stake?
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Edge per unit is 0.45 times 2 minus 0.55, which is 0.35. Kelly is that edge over the odds, 0.35 over 2, so 17.5% of the bankroll. On 400 that is a stake of 70. After each result I recompute the fraction on the new bankroll.
What the interviewer listens for
Edge 0.35 per unit staked
Kelly 17.5% of bankroll
Stake of 70
Probability and Market-Making Maths · INT.HM.2.b: Size a repeated bet from its edge and odds using the Kelly idea, and judge the risk of ruin.
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