Theory of Dynamic Portfolio Choice for Survival Under Uncertainty PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Theory of Dynamic Portfolio Choice for Survival Under Uncertainty PDF full book. Access full book title Theory of Dynamic Portfolio Choice for Survival Under Uncertainty by Santanu Roy. Download full books in PDF and EPUB format.
Author: Santanu Roy
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Santanu Roy
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Santanu Roy
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
Get Book Here
Book Description
Author: Hans W. Gottinger
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Leonard C Maclean
Publisher: World Scientific
ISBN: 981446581X
Category : Business & Economics
Languages : en
Pages : 883
Get Book Here
Book Description
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)"
Author: De-Shuang Huang
Publisher: Springer
ISBN: 3540741712
Category : Computers
Languages : en
Pages : 1402
Get Book Here
Book Description
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.
Author: Hans-Werner Gottinger
Publisher:
ISBN:
Category :
Languages : de
Pages : 15
Get Book Here
Book Description
Author: John Y. Campbell
Publisher: OUP Oxford
ISBN: 019160691X
Category : Business & Economics
Languages : en
Pages : 272
Get Book Here
Book Description
Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author: Compiled by the British Library of Political and Economic Science at the London School of Economics
Publisher: Psychology Press
ISBN: 9780415152150
Category : Economics
Languages : en
Pages : 680
Get Book Here
Book Description
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.
Author: Christos C. Frangos
Publisher: Christos Frangos
ISBN: 6188298024
Category : Business & Economics
Languages : en
Pages : 294
Get Book Here
Book Description
This year’s Conference is organized by the Greek Foundation for Research in the Quantitative, Social and Economic Subjects, which is a non-profit Company with Articles of Association registered in the Chamber of Non-for- profit organizations. This Conference is a continuation, in a broader sense, of the four International Conferences which were organized by myself during the years 2003, 2009, 2013 and 2015, under the auspices of the Technological Educational Institute of Athens and of the 1st International Conference on Quantitative, Social, Biomedical and Economic Issues June 29-30, 2017, Athens, organized under the Auspices of the Greek Foundation for Research in the Quantitative, Social and Economic Subjects. This Conference is focusing on the Emerging New Technologies in every Sector, Financial, Social, Biomedical ,Humanitarian ,Educational and Economic , the influence which they exercise on Management, Education, Economy, Information and Communication, Medicine, Outer Space Research and the dangers and complications in people’s behavior generated from the uncontrollable use of the New Technologies.
Author: Richard E. Oberuc
Publisher: McGraw Hill Professional
ISBN: 9780071426695
Category : Business & Economics
Languages : en
Pages : 344
Get Book Here
Book Description
Publisher Description
