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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.
This book is a collection of applications of analytic techniques to
a number of popular sports including baseball, basketball, hockey,
Jai Alai, NFL football and horseracing. We focus on both the
statistics of the sporting events and betting strategies on the
events. The subject is fascinating as there are many twists and
subtle complicated decisions.Sports analytics applies mathematical
and statistical methods to important questions in the structure and
performance of sporting activities using the same basic methods and
approaches as data analysts in other disciplines.Sports games and
events are a fruitful area for study and to evaluate betting
strategies as there is extensive data and mean reversion. With
prices changing continuously, risk arbitrage bets can be made.
Moreover, little errors, like a penalty to a player or an error in
a call by a referee, can change the score of a game and
corresponding betting prices. The collection and analysis of
in-game data can inform players, coaches and staff on effective
decision making during sporting events.Novel features of the book
include: an analysis of who were the greatest baseball batters;
analyses of the players most important to team success (and they
are not necessarily the best players) in basketball, NFL football
and hockey; a tutorial on risk arbitrage and its applications to
NFL football and NBA basketball; a discussion of many ad hoc
decision rules by coaches and players and what was really optimal;
in the racing section we discuss breeding, the analysis of various
bets like the Rainbow and ordinary Pick 6, a discussion and betting
on the most important races and a visit to the Breeders' Cup with
Ed Thorp to demonstrate the place and show system in action.
This book is a collection of applications of analytic techniques to
a number of popular sports including baseball, basketball, hockey,
Jai Alai, NFL football and horseracing. We focus on both the
statistics of the sporting events and betting strategies on the
events. The subject is fascinating as there are many twists and
subtle complicated decisions.Sports analytics applies mathematical
and statistical methods to important questions in the structure and
performance of sporting activities using the same basic methods and
approaches as data analysts in other disciplines.Sports games and
events are a fruitful area for study and to evaluate betting
strategies as there is extensive data and mean reversion. With
prices changing continuously, risk arbitrage bets can be made.
Moreover, little errors, like a penalty to a player or an error in
a call by a referee, can change the score of a game and
corresponding betting prices. The collection and analysis of
in-game data can inform players, coaches and staff on effective
decision making during sporting events.Novel features of the book
include: an analysis of who were the greatest baseball batters;
analyses of the players most important to team success (and they
are not necessarily the best players) in basketball, NFL football
and hockey; a tutorial on risk arbitrage and its applications to
NFL football and NBA basketball; a discussion of many ad hoc
decision rules by coaches and players and what was really optimal;
in the racing section we discuss breeding, the analysis of various
bets like the Rainbow and ordinary Pick 6, a discussion and betting
on the most important races and a visit to the Breeders' Cup with
Ed Thorp to demonstrate the place and show system in action.
This book consists of invaluable introductions, tutorials and
problems which are helpful for teaching purposes and have a very
broad appeal and usage. The problems cover many aspects of static
and dynamic portfolio theory as well as other important subjects
such as arbitrage and asset pricing, utility theory, stochastic
dominance, risk aversion and static portfolio theory, risk
measures, dynamic portfolio theory and asset allocation. This
material could be used with important books that cover these topics
including MacLean-Ziemba's The Handbook of the Fundamentals of
Financial Decision Making, and Ziemba-Vickson's Stochastic
Optimization Models in Finance.
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.
This guidebook presents historical and new material to assist the
reader to understand NFL game strategies and provides a winning
betting strategy. The authors, William Ziemba and Leonard MacLean
are professors, traders, financial analysts and sports enthusiasts.
They covered ideas like the game's strategies, and shared their
wealth of personal experience analyzing the regular season, the
playoffs and the Super Bowls in the years 2010-2017. The results of
their actual betting for the 2009-10 to the 2017-18 seasons are
provided. The authors concluded the book with a forecast for the
2018-2019 season. They determine the players most valuable to win
the games, discuss crucial decisions and provide prediction
methodology. The authors concluded with a forecast of the top
teams, players and odds to win the 53rd Super Bowl.
This guidebook presents historical and new material to assist the
reader to understand NFL game strategies and provides a winning
betting strategy. The authors, William Ziemba and Leonard MacLean
are professors, traders, financial analysts and sports enthusiasts.
They covered ideas like the game's strategies, and shared their
wealth of personal experience analyzing the regular season, the
playoffs and the Super Bowls in the years 2010-2017. The results of
their actual betting for the 2009-10 to the 2017-18 seasons are
provided. The authors concluded the book with a forecast for the
2018-2019 season. They determine the players most valuable to win
the games, discuss crucial decisions and provide prediction
methodology. The authors concluded with a forecast of the top
teams, players and odds to win the 53rd Super Bowl.
This book consists of invaluable introductions, tutorials and
problems which are helpful for teaching purposes and have a very
broad appeal and usage. The problems cover many aspects of static
and dynamic portfolio theory as well as other important subjects
such as arbitrage and asset pricing, utility theory, stochastic
dominance, risk aversion and static portfolio theory, risk
measures, dynamic portfolio theory and asset allocation. This
material could be used with important books that cover these topics
including MacLean-Ziemba's The Handbook of the Fundamentals of
Financial Decision Making, and Ziemba-Vickson's Stochastic
Optimization Models in Finance.
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