1. The Kelly criterion and its variants:theory and practice in sports, lottery, futures & options trading The symmetric downside Sharpe ratio and the evaluation of great…

1. Portfolio Performance Attribution Abstract In this paper, we provide further insight into the performance attribution by development of statistical models based on minimizing…

Portfolio Performance Attribution Abstract In this paper, we provide further insight into the performance attribution by development of statistical models based on minimizing…

Slide 1 The Kelly criterion and its variants: theory and practice in sports, lottery, futures & options trading The symmetric downside Sharpe ratio and the evaluation…

Slide 1The Cambridge Centre for Climate Change Mitigation Research (4CMR) Discussion of ‘Portfolio Optimisation for the Anxious’ presented by Greg Davies Behavioural…

Slide 1 3.11 Distortions In Deriving Preferences Changes matter more than states. People’s preferences are especially sensitive to changes. Suppose you are asked two questions:…

Introduction The problem of how to maximize growth of wealth has been solved: maximize the expected value of the logarithm of wealth after each period (Kelly 1956, Breiman…