por
MacLean, L. C. (Leonard C.)
Signatura topográfica preferida
332.632042 22
Fecha de publicación
2011
Resumen
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 es.
Formato:
Recursos electrónicos
Relevancia:
1.1240
por
MacLean, L. C. (Leonard C.)
Signatura topográfica preferida
332 23
Fecha de publicación
2013
Formato:
Recursos electrónicos
Relevancia:
0.9791
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por
Ziemba, Rachel.
Signatura topográfica preferida
332.6 23
Fecha de publicación
2013
Resumen
This book discusses many key topics in investment and risk management, the global economic situation and the shift in global investment strategies. It was largely written during the period of 2007-12, one of the most tumultuous times in global financial markets which called into question not only tenets of economic forecasting and also asset allocation and return strategies.
Formato:
Recursos electrónicos
Relevancia:
0.9518
por
Hausch, Donald B.
Signatura topográfica preferida
338.47798401 22
Fecha de publicación
2008 1994
Resumen
A reprint of one of the classic volumes on racetrack efficiency, this book is the only one in its field that deals with the racetrack betting market in-depth, containing all the important historical papers on racetrack efficiency. As evidenced by the collection of articles, the understanding of racetrack betting is clearly drawn from, and has correspondingly returned something to, all the fields of psychology, economics, finance, statistics, mathematics and management science.
Formato:
Recursos electrónicos
Relevancia:
0.0772
por
Gassmann, Horand.
Signatura topográfica preferida
519.7 23
Fecha de publicación
2012
Resumen
This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.
Formato:
Recursos electrónicos
Relevancia:
0.0445
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