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2
votes
0answers
177 views

Optimal Position Size with Transaction Costs given Forecast Mean and StDev

I have rather a challenging question. I'm hoping that someone can share their experience. I will build up the problem in steps. Let's start our thinking with the idea of a buy and hold strategy of ...
1
vote
0answers
49 views

Performance of 1X0/X0 funds vs. traditional benchmarks?

Some years ago there was a proliferation of new products touting the ability of active managers to take short bets on securities: 130/30 funds, 150/50 funds, and the like. What is the empirical ...
7
votes
1answer
131 views

How should you manage lot sizes in this situation?

Imagine that prior to entering the market you know beforehand the profit factor of similar situations. For example: ...
-1
votes
1answer
914 views

Please Explain the Debt to China [closed]

Can someone please explain to me how we are in debt with China? Every weblog, article, journal I read have people in the comments going insane about how we "owe China monies" and "China owns the US" ...
8
votes
3answers
736 views

Alternate money management strategies to Kelly?

Other than Kelly (or fractional derivatives), are there other money management strategies in wide use among quant funds? Certainly Kelly is mathematically optimal, but perhaps there are other ...