Theory Of Dynamic Portfolio Choice For Survival Under Uncertainty

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Theory Of Dynamic Portfolio Choice For Survival Under Uncertainty

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Author : Santanu Roy
language : en
Publisher:
Release Date : 1995

Theory Of Dynamic Portfolio Choice For Survival Under Uncertainty written by Santanu Roy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.

Theory Of Dynamic Portfolio Choice For Maximization Of Survival Probability

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Author : Santanu Roy
language : en
Publisher:
Release Date : 1992

Theory Of Dynamic Portfolio Choice For Maximization Of Survival Probability written by Santanu Roy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.

Dynamic Portfolio Choice And Stochastic Survival

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Author : Hans W. Gottinger
language : en
Publisher:
Release Date : 1995

Dynamic Portfolio Choice And Stochastic Survival written by Hans W. Gottinger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.

Dynamic Portfolio Choice And Stochastic Survival

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Author : Hans-Werner Gottinger
language : de
Publisher:
Release Date : 1995

Dynamic Portfolio Choice And Stochastic Survival written by Hans-Werner Gottinger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.

Kelly Capital Growth Investment Criterion The Theory And Practice

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Author : Leonard C Maclean
language : en
Publisher: World Scientific
Release Date : 2011-02-10

Kelly Capital Growth Investment Criterion The Theory And Practice written by Leonard C Maclean and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-10 with Business & Economics categories.

This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.Contents: "The Early Ideas and Contributions: "Introduction to the Early Ideas and ContributionsExposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) "(D Bernoulli)"A New Interpretation of Information Rate "(J R Kelly, Jr)"Criteria for Choice among Risky Ventures "(H A Latan‚)"Optimal Gambling Systems for Favorable Games "(L Breiman)"Optimal Gambling Systems for Favorable Games "(E O Thorp)"Portfolio Choice and the Kelly Criterion "(E O Thorp)"Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions "(N H Hakansson)"On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields "(N H Hakansson)"Evidence on the ?Growth-Optimum-Model? "(R Roll)""Classic Papers and Theories: "Introduction to the Classic Papers and TheoriesCompetitive Optimality of Logarithmic Investment "(R M Bell and T M Cover)"A Bound on the Financial Value of Information "(A R Barron and T M Cover)"Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment "(P H Algoet and T M Cover)"Universal Portfolios "(T M Cover)"The Cost of Achieving the Best Portfolio in Hindsight "(E Ordentlich and T M Cover)"Optimal Strategies for Repeated Games "(M Finkelstein and R Whitley)"The Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice "(V K Chopra and W T Ziemba)"Time to Wealth Goals in Capital Accumulation "(L C MacLean, W T Ziemba, and Y Li)"Survival and Evolutionary Stability of Rule the Kelly "(I V Evstigneev, T Hens, and K R Schenk-Hopp‚)"Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes "(Y Lv and B K Meister)""The Relationship of Kelly Optimization to Asset Allocation: "Introduction to the Relationship of Kelly Optimization to Asset AllocationSurvival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time "(S Browne)"Growth versus Security in Dynamic Investment Analysis "(L C MacLean, W T Ziemba, and G Blazenko)"Capital Growth with Security "(L C MacLean, R Sanegre, Y Zhao, and W T Ziemba)"

Advanced Intelligent Computing Theories And Applications With Aspects Of Theoretical And Methodological Issues

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Author : De-Shuang Huang
language : en
Publisher: Springer
Release Date : 2007-07-31

Advanced Intelligent Computing Theories And Applications With Aspects Of Theoretical And Methodological Issues written by De-Shuang Huang and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07-31 with Computers categories.

This volume, in conjunction with the two volumes CICS 0002 and LNAI 4682, constitutes the refereed proceedings of the Third International Conference on Intelligent Computing held in Qingdao, China, in August 2007. The 139 full papers published here were carefully reviewed and selected from among 2,875 submissions. Collectively, these papers represent some of the most important findings and insights into the field of intelligent computing.

Portfolio Choice Problems

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Author : Nicolas Chapados
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-07-12

Portfolio Choice Problems written by Nicolas Chapados and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-12 with Computers categories.

This brief offers a broad, yet concise, coverage of portfolio choice, containing both application-oriented and academic results, along with abundant pointers to the literature for further study. It cuts through many strands of the subject, presenting not only the classical results from financial economics but also approaches originating from information theory, machine learning and operations research. This compact treatment of the topic will be valuable to students entering the field, as well as practitioners looking for a broad coverage of the topic.

Ibss Economics 1995

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Author : Compiled by the British Library of Political and Economic Science at the London School of Economics
language : en
Publisher: Psychology Press
Release Date : 1996

Ibss Economics 1995 written by Compiled by the British Library of Political and Economic Science at the London School of Economics and has been published by Psychology Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Economics categories.

The IBSS is the essential tool for librarians, university departments, research institutions and any public or private institutions whose work requires access to up-to-date and comprehensive knowledge of the social sciences.

Dynamic Portfolio Theory And Management

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Author : Richard E. Oberuc
language : en
Publisher: McGraw Hill Professional
Release Date : 2004

Dynamic Portfolio Theory And Management written by Richard E. Oberuc and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business & Economics categories.

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Theory Of Rational Choice Under Uncertainty

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Author : J.P. D. Chateau
language : en
Publisher:
Release Date : 1978

Theory Of Rational Choice Under Uncertainty written by J.P. D. Chateau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with categories.