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Apr
12
awarded  Critic
Apr
11
comment Closed-form solution to optimal single assset position sizing with predicted returns
That's just semantics. Obviously in this example the fraction of the investor's wealth currently not invested in the risky asset would be in something like cash earning nothing. You could call it a 2nd asset if you like.
Apr
11
revised Closed-form solution to optimal single assset position sizing with predicted returns
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Apr
11
revised Closed-form solution to optimal single assset position sizing with predicted returns
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Apr
11
awarded  Commentator
Apr
11
comment Closed-form solution to optimal single assset position sizing with predicted returns
Thanks, you're right. I oversimplified the problem by only looking at one time step. I've edited the question to make it n-step.
Apr
11
revised Closed-form solution to optimal single assset position sizing with predicted returns
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Apr
11
asked Closed-form solution to optimal single assset position sizing with predicted returns
Dec
12
awarded  Popular Question
Nov
1
awarded  Nice Question
Aug
13
awarded  Curious
Aug
12
comment Why maximize expected growth rate?
I understand that the two can be shown to be equivalent, but Kelly doesn't require any assumptions about ones utility, so why is maximizing the expected growth rate the stated objective a priori?
Aug
12
revised Why maximize expected growth rate?
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Aug
12
asked Why maximize expected growth rate?
Mar
6
awarded  Yearling
Apr
19
comment Is there any thing out there as a substitute for KDB?
The minimal 2-core setup of kdb+ is actually pretty reasonable: $25K per year including maintenance.
Aug
10
accepted Analyzing an incomplete set of trades
Aug
5
comment Analyzing an incomplete set of trades
That's an interesting approach. I hadn't considered a statistical solution to fill in the missing trades. But I don't see how I could estimate any probability distributions when I don't even know how much of the flow I'm missing; I could be seeing 100% of their trades or 5%. And the market is FX, so short selling is quite natural and common.
Aug
5
comment Implications of the Riemann hypothesis in finance?
Are you sure he was implying that it had any applications in finance? Maybe he was just suggesting that they should devote their time to studying pure math.
Aug
4
awarded  Editor