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Printable Handouts
Navigable Slide Index
- Introduction
- Speaker's biography
- The two trading routes
- To win consistently
- Favorable or unfavorable games
- The importance of getting the mean right
- Effect of data input errors on portfolio performance
- Means are important for investment success
- Mean percentage cash equivalent loss
- You must get the means right to win!
- Mean return - summary
- Average turnover
- Asset proportions
- Log utility: Bernoulli (1738)
- Long run exponential growth
- How much do you bet?
- The bets can be large
- Maximizing long run growth
- In continuous time
- Long term hedge fund trading and overbetting
- Growth rates vs. probability of doubling
- Mohnish Pabrai
- Pabrai bet issues
- Kelly betting at PIMCO
- Trading records for Kelly-investor-like bettors
- Typical Kelly type bets
- Soros and Buffett
- Growth of assets in various funds (1985-1999)
- Using the Sharpe ratio
- Using a modified Sharpe ratio
- The downside Sharpe ratio performance measure
- Ford and Harvard returns (1977-2001)
- Comparison of Sharpe performance measures
- Berkshire Hathaway vs. Ford foundation
- Return distributions of all the funds
- Ed Thorp's PNP record
- Performance of Hedge funds and BRK-A
- Hedge funds and BRK-A
- The Renaissance Medallion fund
- Monthly percentage returns of the Medallion fund
- Net returns in percent of the Medallion fund
- Sharpe and downside symmetric Sharpe ratios
- Monthly rates of return in increasing order
- Breiman's mathematical properties
- The three properties
- A repeat of properties
- Kelly and half Kelly medium time simulations
- The good, the bad and the ugly
- Final wealth statistics by Kelly fraction
- Highest final wealth trajectory
- Lowest final wealth trajectory
- Trajectories with final wealth extremes
- Final ln(wealth) distributions by fraction
- Mean-std tradeoff
- Horse racing
- Place market in horseracing
- The idea
- Calculation of optimal Kelly bets
- Use in a calculator
- Expected value approximation equations
- Kentucky Derby (1934-1998)
- Typical wealth level histories with one scenario
- 1992 Breeders’ cup race 5
- Simulations in 2004-5
This material is restricted to subscribers.
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
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Talk Citation
Ziemba, W. (2014, January 5). Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs 1 [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved December 13, 2024, from https://doi.org/10.69645/RGFA7734.Export Citation (RIS)
Publication History
Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs 1
Published on January 5, 2014
85 min
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