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1. Introduction
2. Samuelson’s critique of Kelly betting
3. Fractional Kelly and negative power utility
4. The investors
5. Some tests
6. The blending portfolio optimization case
7. Applying the formula for CE
8. Double Kelly results in zero growth rate
9. Dick is a pushy guy
10. Aside
11. A limit theorem
12. Another theorem
13. Response to Samuelson
14. Constant relative risk aversion
15. Luenberger response to Samuelson-Merton
16. Luenberger preferences
17. Compound utility functions
18. Conclusion of Luenberger's analysis
19. Commodity trading
20. January effect
21. Turn of the year 1993/95
22. Turn of the year effect
23. Turn of the year effect - recent developments
24. My experiences trading the TOY
25. TOY graphs
26. Various turns of the year
27. More turn of the year graphs
28. Russell 2000 - S&P500 futures
29. Russell 2000 - S&P500 entries and exits
30. Unpopular numbers in the Canadian lotto
31. Experimental data of lotto games
32. Probability of doubling, quadrupling and tenfolding
33. Probability of reaching the goal of 10 million dollars
34. Calculating the optimal Kelly fraction
35. Example of using the model
36. Setting up the model
37. Growth with secured rate
38. Another version of the model
39. Extension in MacLean, Zhao, Ziemba paper
40. Discounted wealth
41. VaR constraint
42. Asset prices
43. Regimes
44. Wealth dynamics
45. Wealth
46. Capital growth with penalty
47. Optimal growth
48. Decomposition
49. One period problem
50. Functional form
51. Chance constraint in the one period problem
52. One period problem simplified
53. Example
54. The path, penalty and reliability
55. Wealth trajectories: no path
56. Wealth trajectories: with path
57. References

Topics Covered

• Samuelson’s critique of Kelly betting
• Fractional Kelly and negative power utility
• Some tests
• Commodity trading: turn of year effect
• Lotto games, experimental data
• Calculating the optimal Kelly fraction
• Extension in MacLean, Zhao, Ziemba (2009) paper
• Asset prices
• Regimes
• Wealth dynamics
• Capital growth with penalty
• Optimal growth
• Decomposition
• One period problem
• Functional form
• Wealth trajectories

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on January 5, 2014