Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs [electronic resource] : Part 2 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 (52 min.) : color, sound)Other title: Tutorial on Kelly capital growth investment strategies for long term growth with application to sovereign wealth funds, part 2Subject(s): Samuelson, Paul A. (Paul Anthony), 1915-2009 | 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: 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.
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Mode of access: World Wide Web.