{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,18]],"date-time":"2026-10-18T08:40:15Z","timestamp":1792312815541,"version":"4.4.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":29,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We consider leveraged portfolios of the S&amp;amp;P 500 stock index and multi-asset portfolios of the S&amp;amp;P 500, 10-year U.S. Treasury bonds, and Baa-rated corporate bonds, rebalanced to constant weights, over 1926-2025 and its subperiods. We treat these portfolios as fixed-fraction betting strategies for favorable games and apply the Kelly criterion. We calculate Kelly leverage levels that maximize long-term growth and study how rebalancing to constant leverage affects maximal drawdowns and other risk measures. Over the 100-year period, we obtain an optimal Kelly leverage of 2.3 for the S&amp;amp;P 500 with daily rebalancing. For the subperiod 1957-2025, which excludes the Great Depression, leverage of 1.5 with daily rebalancing, a little over half-Kelly, gives an \"acceptable\" maximal drawdown of 72%. The proposed direct numerical optimization approach to calculating Kelly leverage, with additional constraints on asset weights, drawdowns, and other risk measures, extends the Chekhlov-Uryasev-Zabarankin method. This numerical optimization provides lower, more realistic Kelly leverage than continuous-time models while accounting for discrete rebalancing intervals and tail returns.<\/jats:p>","DOI":"10.2139\/ssrn.7618339","type":"posted-content","created":{"date-parts":[[2026,10,16]],"date-time":"2026-10-16T14:19:18Z","timestamp":1792160358000},"source":"Crossref","is-referenced-by-count":0,"title":["Optimal Leverage, Multivariate Kelly Criterion and Drawdowns of Stock and Multi-Asset Portfolios over the Last 100 years"],"prefix":"10.2139","author":[{"given":"Mikhail","family":"Smirnov","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Antonio","family":"Dapporto","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","article-title":"Logarithmic Scale Red Line is SP500 Total Return Cost of leverage is TBills+0% 50 500 5000","volume":"2","journal-title":"SP500 Tot Ret 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