Money and Finance
- A Conversation Between Joel Greenblatt And Howard Marks
A great quote from Greenblatt during the conversation, which reminded me of the Kelly Criterion: "My largest positions are not the ones I think I'm going to make the most money from. My largest positions are the ones I don't think I'm going...
- Links
Bill Gross' latest Investment Outlook: Goodnight Vietnam (LINK) Robert Shiller on CNBC (LINK) John Hempton on CNBC (LINK) Hempton also recently re-recommended the book Fatal Risk: A Cautionary Tale of AIG's Corporate SuicideLosing...
- Ed Thorp, Jack Schwager, And The Kelly Criterion
Excerpt from Jack Schwager’s interview with Ed Thorp in the book Hedge Fund Market Wizards: The Kelly criterion is the fraction of capital to wager to maximize compounded growth of capital. Even when there is an edge, beyond some threshold, larger bets...
- Random Links
Just a bunch of random things that might be worth reading if you've never come across them: An Hour with Mr. Graham All Strategy Is Local Jeremy Grantham: July 2006 Letter, which includes Everything I Know About the Market in 15 Minutes - Or...
- Old Pros Size Up The Game
WSJ interview with Ed Thorp and Bill Gross.-WSJ: What can your blackjack strategy tell us about how to manage risk in today's markets?- Mr. Thorp: You have to make sure that you don't over-bet. Suppose you have a 5% edge over your opponent when...
Money and Finance
Generalizing the Kelly Criterion
Below is a link to a 3-page excerpt from the Boyles Q2 2014 letter relating to the Kelly Criterion, a topic I’ve mentioned before, but not quite given as full of a discussion as there is here.
Link to: Generalizing the Kelly Criterion
- A Conversation Between Joel Greenblatt And Howard Marks
A great quote from Greenblatt during the conversation, which reminded me of the Kelly Criterion: "My largest positions are not the ones I think I'm going to make the most money from. My largest positions are the ones I don't think I'm going...
- Links
Bill Gross' latest Investment Outlook: Goodnight Vietnam (LINK) Robert Shiller on CNBC (LINK) John Hempton on CNBC (LINK) Hempton also recently re-recommended the book Fatal Risk: A Cautionary Tale of AIG's Corporate SuicideLosing...
- Ed Thorp, Jack Schwager, And The Kelly Criterion
Excerpt from Jack Schwager’s interview with Ed Thorp in the book Hedge Fund Market Wizards: The Kelly criterion is the fraction of capital to wager to maximize compounded growth of capital. Even when there is an edge, beyond some threshold, larger bets...
- Random Links
Just a bunch of random things that might be worth reading if you've never come across them: An Hour with Mr. Graham All Strategy Is Local Jeremy Grantham: July 2006 Letter, which includes Everything I Know About the Market in 15 Minutes - Or...
- Old Pros Size Up The Game
WSJ interview with Ed Thorp and Bill Gross.-WSJ: What can your blackjack strategy tell us about how to manage risk in today's markets?- Mr. Thorp: You have to make sure that you don't over-bet. Suppose you have a 5% edge over your opponent when...