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A New York Times bestseller
In a remarkable career, Edward O. Thorp
rose up from nothing to become a professor at MIT, invented card
counting and the world's first wearable computer, beat the casinos
of Las Vegas at blackjack and roulette, then became a bestselling
author and a hedge fund heavyweight, ushering in a revolution on
Wall Street. Now he shares his incredible life story for the first
time, revealing how he made his fortune and giving advice to the
next generation of investors. An intellectual thrill ride, replete
with practical wisdom, A Man for All Markets is a scarcely
imaginable tale of ludicrous success.
Run Time: 51.08 minutes Quant legend Ed Thorp shares several
unifying concepts that have helped his thinking over the last five
decades in finance: The map is not the territory highlights the
repeatedly and sometimes disastrous overlooked limitations of
quantitative financial models. The related randomness, even folly,
of much expert opinion and the difference between hedgehogs and
foxes tells us that if it's important, verify the facts and then
think for yourself in forming your own opinion. When the invisible
hand becomes a visible foot in the mouth, the tragedy of the
commons, and the proper pricing of externalities are repeatedly
overlooked. Critical for long term investors: The secular pricing
of securities, even the fate of empire, is largely determined by
the aggregate behavior of the politically connected rich, those
among the 0.01% who use government to extract excess wealth (rents)
from everyone else. This video, one of six from the Wiley WILMOTT
Summit on Risk and Quantitative Modeling in Finance, held on the
11th December 2012 at Columbia University, New York feature the
presentations from thought leaders and industry experts aiming to
draw together some of the lessons of the last decade in order to
restate the discipline's fundamental role in driving the future
success of the global market economy. This is the time to define
what quantitative finance really means beyond the fallout of the
global financial crisis and to identify the technology and
techniques that will power innovation and growth. Videos in this
series include: Paul Wilmott - Recent Advances in Stupid Ideas in
Quant Finance Kent Osband - Fooled by Rational Turbulence Aaron
Brown - And The Cows That Were Ugly and Gaunt Ate Up The Seven
Sleek, Fat Cows Patrick S. Hagan - On Beyond Black: Volatility
Surfaces and Dark Noise Edward O. Thorp - What Finance Has Taught
Me Chaired by Jack Schwager - Wiley Wilmott Summit Debate, Is
Finance the sickness or the cure? Joined by Paul Wilmott, Kent
Osband, Aaron Brown and Patrick S. Hagan
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.
A winning strategy for the game of 21. The essentials, consolidated in simple charts, can be understood and memorized by the average player.
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.
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