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1. Introduction
2. Speaker's biography
3. The two trading routes
4. To win consistently
5. Favorable or unfavorable games
6. The importance of getting the mean right
7. Effect of data input errors on portfolio performance
8. Means are important for investment success
9. Mean percentage cash equivalent loss
10. You must get the means right to win!
11. Mean return - summary
12. Average turnover
13. Asset proportions
14. Log utility: Bernoulli (1738)
15. Long run exponential growth
16. How much do you bet?
17. The bets can be large
18. Maximizing long run growth
19. In continuous time
20. Long term hedge fund trading and overbetting
21. Growth rates vs. probability of doubling
22. Mohnish Pabrai
23. Pabrai bet issues
24. Kelly betting at PIMCO
25. Trading records for Kelly-investor-like bettors
26. Typical Kelly type bets
27. Soros and Buffett
28. Growth of assets in various funds (1985-1999)
29. Using the Sharpe ratio
30. Using a modified Sharpe ratio
31. The downside Sharpe ratio performance measure
32. Ford and Harvard returns (1977-2001)
33. Comparison of Sharpe performance measures
34. Berkshire Hathaway vs. Ford foundation
35. Return distributions of all the funds
36. Ed Thorp's PNP record
37. Performance of Hedge funds and BRK-A
38. Hedge funds and BRK-A
39. The Renaissance Medallion fund
40. Monthly percentage returns of the Medallion fund
41. Net returns in percent of the Medallion fund
42. Sharpe and downside symmetric Sharpe ratios
43. Monthly rates of return in increasing order
44. Breiman's mathematical properties
45. The three properties
46. A repeat of properties
47. Kelly and half Kelly medium time simulations
48. The good, the bad and the ugly
49. Final wealth statistics by Kelly fraction
50. Highest final wealth trajectory
51. Lowest final wealth trajectory
52. Trajectories with final wealth extremes
53. Final ln(wealth) distributions by fraction
54. Mean-std tradeoff
55. Horse racing
56. Place market in horseracing
57. The idea
58. Calculation of optimal Kelly bets
59. Use in a calculator
60. Expected value approximation equations
61. Kentucky Derby (1934-1998)
62. Typical wealth level histories with one scenario
63. 1992 Breeders’ cup race 5
64. Simulations in 2004-5

Topics Covered

• The two trading routes available for cash, equity and equity futures hedge funds
• What you must do to win consistently
• Games: favorable or unfavorable
• The importance of getting the mean right
• Effect of data input errors on portfolio performance
• It’s the means that are the most important for investment success
• Asset proportions
• not practical
• Log utility: Bernoulli (1738)
• Maximizing long run growth
• What does the theory tell us about long term hedge fund trading and overbetting?
• Mohnish Pabrai bet issues
• Kelly betting
• Soros and Buffett
• Using the Sharpe ratio
• Kelly and half Kelly medium time simulations
• Final wealth statistics by Kelly fraction: Ziemba-Hausch (1986) model
• Horse racing
• Effect of transactions costs, calculation of optimal place and show Kelly bets
• Expected value approximation equations

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on January 5, 2014