Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs [electronic resource] : Part 1 of 2 / William T. Ziemba.
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FilmSeries: Henry Stewart talksBusiness & management collection. Risk management for sovereign institutions: Publisher: London : Henry Stewart Talks, 2014Description: 1 online resource (1 streaming video file (85 min.) : color, sound)Other title: Tutorial on Kelly capital growth investment strategies for long term growth with application to sovereign wealth funds, part 1Subject(s): Gambling -- Economic aspects | Investment analysis | Investments -- Mathematics | Risk management | Sovereign wealth fundsOnline resources: Click here to access online | Series Animated audio-visual presentation with synchronized narration.
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Contents: 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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Mode of access: World Wide Web.