Theory Of Dynamic Portfolio Choice For Survival Under Uncertainty

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Kelly Capital Growth Investment Criterion, The: Theory And Practice

Author : Leonard C Maclean
Publisher : World Scientific
ISBN 13 : 981446581X
Total Pages : 883 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Kelly Capital Growth Investment Criterion, The: Theory And Practice by : Leonard C Maclean

Download or read book Kelly Capital Growth Investment Criterion, The: Theory And Practice written by Leonard C Maclean and published by World Scientific. This book was released on 2011-02-10 with total page 883 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Author : De-Shuang Huang
Publisher : Springer
ISBN 13 : 3540741712
Total Pages : 1402 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Advanced Intelligent Computing Theories and Applications - With Aspects of Theoretical and Methodological Issues by : De-Shuang Huang

Download or read book Advanced Intelligent Computing Theories and Applications - With Aspects of Theoretical and Methodological Issues written by De-Shuang Huang and published by Springer. This book was released on 2007-07-31 with total page 1402 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Strategic Asset Allocation

Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Strategic Asset Allocation by : John Y. Campbell

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Ibss: Economics: 1995

Author : Compiled by the British Library of Political and Economic Science at the London School of Economics
Publisher : Psychology Press
ISBN 13 : 9780415152150
Total Pages : 680 pages
Book Rating : 4.1/5 (521 download)

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Book Synopsis Ibss: Economics: 1995 by : Compiled by the British Library of Political and Economic Science at the London School of Economics

Download or read book Ibss: Economics: 1995 written by Compiled by the British Library of Political and Economic Science at the London School of Economics and published by Psychology Press. This book was released on 1996 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

PROCEEDINGS OF THE 2nd INTERNATIONAL CONFERENCE ON QUANTITATIVE, SOCIAL, BIOMEDICAL & ECONOMIC ISSUES 2018

Author : Christos C. Frangos
Publisher : Christos Frangos
ISBN 13 : 6188298024
Total Pages : 294 pages
Book Rating : 4.1/5 (882 download)

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Book Synopsis PROCEEDINGS OF THE 2nd INTERNATIONAL CONFERENCE ON QUANTITATIVE, SOCIAL, BIOMEDICAL & ECONOMIC ISSUES 2018 by : Christos C. Frangos

Download or read book PROCEEDINGS OF THE 2nd INTERNATIONAL CONFERENCE ON QUANTITATIVE, SOCIAL, BIOMEDICAL & ECONOMIC ISSUES 2018 written by Christos C. Frangos and published by Christos Frangos. This book was released on 2018-03-02 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Handbook of Computational and Numerical Methods in Finance

Author : Svetlozar T. Rachev
Publisher : Springer Science & Business Media
ISBN 13 : 0817681809
Total Pages : 438 pages
Book Rating : 4.8/5 (176 download)

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Book Synopsis Handbook of Computational and Numerical Methods in Finance by : Svetlozar T. Rachev

Download or read book Handbook of Computational and Numerical Methods in Finance written by Svetlozar T. Rachev and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and survey articles focusing on various numerical methods in finance. The book is designed for the academic community and will also serve professional investors.

Asymptotics, Nonparametrics, and Time Series

Author : Subir Ghosh
Publisher : CRC Press
ISBN 13 : 1482269775
Total Pages : 858 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Asymptotics, Nonparametrics, and Time Series by : Subir Ghosh

Download or read book Asymptotics, Nonparametrics, and Time Series written by Subir Ghosh and published by CRC Press. This book was released on 1999-02-18 with total page 858 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Contains over 2500 equations and exhaustively covers not only nonparametrics but also parametric, semiparametric, frequentist, Bayesian, bootstrap, adaptive, univariate, and multivariate statistical methods, as well as practical uses of Markov chain models."

Stochastic Processes and Functional Analysis

Author : Alan C. Krinik
Publisher : CRC Press
ISBN 13 : 9780203913574
Total Pages : 526 pages
Book Rating : 4.9/5 (135 download)

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Book Synopsis Stochastic Processes and Functional Analysis by : Alan C. Krinik

Download or read book Stochastic Processes and Functional Analysis written by Alan C. Krinik and published by CRC Press. This book was released on 2004-03-23 with total page 526 pages. Available in PDF, EPUB and Kindle. Book excerpt: This extraordinary compilation is an expansion of the recent American Mathematical Society Special Session celebrating M. M. Rao's distinguished career and includes most of the presented papers as well as ancillary contributions from session invitees. This book shows the effectiveness of abstract analysis for solving fundamental problems of stochas

Organization with Incomplete Information

Author : Mukul Majumdar
Publisher : Cambridge University Press
ISBN 13 : 9780521553001
Total Pages : 372 pages
Book Rating : 4.5/5 (53 download)

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Book Synopsis Organization with Incomplete Information by : Mukul Majumdar

Download or read book Organization with Incomplete Information written by Mukul Majumdar and published by Cambridge University Press. This book was released on 1998-09-13 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: There have been systematic attempts over the last twenty-five years to explore the implications of decision making with incomplete information and to model an 'economic man' as an information-processing organism. These efforts are associated with the work of Roy Radner, who joins other analysts in this collection to offer accessible overviews of the existing literature on topics such as Walrasian equilibrium with incomplete markets, rational expectations equilibrium, learning, Markovian games, dynamic game-theoretic models of organization, and experimental work on mechanism selection. Some essays also take up relatively new themes related to bounded rationality, complexity of decisions, and economic survival. The collection overall introduces models that add to the toolbox of economists, expand the boundaries of economic analysis, and enrich our understanding of the inefficiencies and complexities of organizational design in the presence of uncertainty.

The Quarterly Review of Economics and Finance

Author :
Publisher :
ISBN 13 :
Total Pages : 1098 pages
Book Rating : 4.:/5 (334 download)

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Book Synopsis The Quarterly Review of Economics and Finance by :

Download or read book The Quarterly Review of Economics and Finance written by and published by . This book was released on 2010 with total page 1098 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Investment under Uncertainty

Author : Robert K. Dixit
Publisher : Princeton University Press
ISBN 13 : 1400830176
Total Pages : 484 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Investment under Uncertainty by : Robert K. Dixit

Download or read book Investment under Uncertainty written by Robert K. Dixit and published by Princeton University Press. This book was released on 2012-07-14 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: How should firms decide whether and when to invest in new capital equipment, additions to their workforce, or the development of new products? Why have traditional economic models of investment failed to explain the behavior of investment spending in the United States and other countries? In this book, Avinash Dixit and Robert Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most investment decisions, and the ongoing uncertainty of the economic environment in which these decisions are made. In so doing, they answer important questions about investment decisions and the behavior of investment spending. This new approach to investment recognizes the option value of waiting for better (but never complete) information. It exploits an analogy with the theory of options in financial markets, which permits a much richer dynamic framework than was possible with the traditional theory of investment. The authors present the new theory in a clear and systematic way, and consolidate, synthesize, and extend the various strands of research that have come out of the theory. Their book shows the importance of the theory for understanding investment behavior of firms; develops the implications of this theory for industry dynamics and for government policy concerning investment; and shows how the theory can be applied to specific industries and to a wide variety of business problems.

Biological Systems: Nonlinear Dynamics Approach

Author : Jorge Carballido-Landeira
Publisher : Springer
ISBN 13 : 303016585X
Total Pages : 111 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis Biological Systems: Nonlinear Dynamics Approach by : Jorge Carballido-Landeira

Download or read book Biological Systems: Nonlinear Dynamics Approach written by Jorge Carballido-Landeira and published by Springer. This book was released on 2019-04-29 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects recent advances in the field of nonlinear dynamics in biological systems. Focusing on medical applications as well as more fundamental questions in biochemistry, it presents recent findings in areas such as control in chemically driven reaction-diffusion systems, electrical wave propagation through heart tissue, neural network growth, chiral symmetry breaking in polymers and mechanochemical pattern formation in the cytoplasm, particularly in the context of cardiac cells. It is a compilation of works, including contributions from international scientists who attended the “2nd BCAM Workshop on Nonlinear Dynamics in Biological Systems,” held at the Basque Center for Applied Mathematics, Bilbao in September 2016. Embracing diverse disciplines and using multidisciplinary approaches – including theoretical concepts, simulations and experiments – these contributions highlight the nonlinear nature of biological systems in order to be able to reproduce their complex behavior. Edited by the conference organizers and featuring results that represent recent findings and not necessarily those presented at the conference, the book appeals to applied mathematicians, biophysicists and computational biologists.

Journal of Economic Literature

Author :
Publisher :
ISBN 13 :
Total Pages : 658 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Journal of Economic Literature by :

Download or read book Journal of Economic Literature written by and published by . This book was released on 1997 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Mathematical Reviews

Author :
Publisher :
ISBN 13 :
Total Pages : 1518 pages
Book Rating : 4.X/5 (6 download)

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Book Synopsis Mathematical Reviews by :

Download or read book Mathematical Reviews written by and published by . This book was released on 2005 with total page 1518 pages. Available in PDF, EPUB and Kindle. Book excerpt:

World Congress of Nonlinear Analysts '92

Author :
Publisher :
ISBN 13 :
Total Pages : 1036 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis World Congress of Nonlinear Analysts '92 by :

Download or read book World Congress of Nonlinear Analysts '92 written by and published by . This book was released on 1996 with total page 1036 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Control Applications of Optimisation 2003 (CAO 2003)

Author : R. Bars
Publisher : Elsevier Science & Technology
ISBN 13 :
Total Pages : 290 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Control Applications of Optimisation 2003 (CAO 2003) by : R. Bars

Download or read book Control Applications of Optimisation 2003 (CAO 2003) written by R. Bars and published by Elsevier Science & Technology. This book was released on 2003 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Proceedings volume from the IFAC Workshop on Control Applications of Optimisation, Visegrad, June-July 2003. Presents the findings of experts and practitioners in the field, provides an overview of the theory and applications, and documentation of the scientific activities of the workshop.

Handbook of the Fundamentals of Financial Decision Making

Author : Leonard C. MacLean
Publisher : World Scientific
ISBN 13 : 9814417351
Total Pages : 941 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Handbook of the Fundamentals of Financial Decision Making by : Leonard C. MacLean

Download or read book Handbook of the Fundamentals of Financial Decision Making written by Leonard C. MacLean and published by World Scientific. This book was released on 2013 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).