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Kelly criterion

In probability theory, the Kelly criterion (or Kelly strategy or Kelly bet), is a formula that determines the optimal theoretical size for a bet. It is valid when the expected returns are known. The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected geometric growth rate. J. L. Kelly Jr, a researcher at Bell Labs, described the criterion in 1956. Because the Kelly Criterion leads to higher wealth compared to any other strategy in the long run (i.e., the theoretical maximum return as the number of bets goes to infinity), it is a scientific gambling method. The practical use of the formula has been demonstrated for gambling and the same idea was used to explain diversification in investment management. In the 2000s, Kelly-style analysis became a part of mainstream investment theory and the claim has been made that well-known successful investors including Warren Buffett and Bill Gross use Kelly methods. William Poundstone wrote an extensive popular account of the history of Kelly betting. Also see Intertemporal portfolio choice. (Wikipedia).

Kelly criterion
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Voting Theory: Fairness Criterion

This video define 4 Fairness Criterion for determining the winner of an election. Site: http://mathispower4u.com

From playlist Voting Theory

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How to evaluate the limit of a function by observing its graph

๐Ÿ‘‰ Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

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Evaluate the limit for a value of a function

๐Ÿ‘‰ Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

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How Does Leverage Affect Trading Returns? The Kelly Criterion | Coffeezilla Follow-up

Todays video is a follow-up to the video I did earlier this week with Steven from Coffeezilla, "The Truth About Trading Gurus". Let's look at some of the lessons that can be taken from the world of gambling that might help a trader with sizing their trades. We look at the Kelly criterion

From playlist Statistics For Traders

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Stability of amenable groups via ergodic theory - Arie Levit

Stability and Testability Topic: Stability of amenable groups via ergodic theory Speaker: Arie Levit Affiliation: Yale University Date: January 27, 2021 For more video please visit http://video.ias.edu

From playlist Stability and Testability

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What is the max and min of a horizontal line on a closed interval

๐Ÿ‘‰ Learn how to find the extreme values of a function using the extreme value theorem. The extreme values of a function are the points/intervals where the graph is decreasing, increasing, or has an inflection point. A theorem which guarantees the existence of the maximum and minimum points

From playlist Extreme Value Theorem of Functions

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High dimensional expanders - Part 2 - Shai Evra

Computer Science/Discrete Mathematics Seminar II Topic: High dimensional expanders - Part 2 Speaker: Shai Evra Affiliation: Princeton University Date: February 16, 2021 For more video please visit http://video.ias.edu

From playlist Mathematics

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How you will go bust on a favorable bet. (Kelly/Shannon/Thorp)

We explain the Kelly criterion and illustrate why "risk aversion" in Behavioral Finance is Micky Mouse(โ„ข) Science.

From playlist TOPICS IN APPLIED PROBABILITY

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Does the EVT apply

๐Ÿ‘‰ Learn how to find the extreme values of a function using the extreme value theorem. The extreme values of a function are the points/intervals where the graph is decreasing, increasing, or has an inflection point. A theorem which guarantees the existence of the maximum and minimum points

From playlist Extreme Value Theorem of Functions

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16. Portfolio Management

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013 View the complete course: http://ocw.mit.edu/18-S096F13 Instructor: Jake Xia This lecture focuses on portfolio management, including portfolio construction, portfolio theory, risk parity portfolios, and their limita

From playlist MIT 18.S096 Topics in Mathematics w Applications in Finance

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Bert Wiest: Pseudo-Anosov braids are generic

Find this video and other talks given by worldwide mathematicians on CIRM's Audiovisual Mathematics Library: http://library.cirm-math.fr. And discover all its functionalities: - Chapter markers and keywords to watch the parts of your choice in the video - Videos enriched with abstracts, b

From playlist Geometry

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Maximum and Minimum Values (Closed interval method)

A review of techniques for finding local and absolute extremes, including an application of the closed interval method

From playlist 241Fall13Ex3

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Learn to evaluate the limit of the absolute value function

๐Ÿ‘‰ Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

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How to Make $1 Billion Betting on Horse Racing with Machine Learning

Bill Benter is arguably the most successful sports bettor of all time. Its estimated he made close to $1 Billion betting on horses in Hong Kong. His story is well documented, but the models he used and the reasons for his success are often overlooked. In this video I break down the circums

From playlist Data Scientist Reacts

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Apply the EVT to the square function

๐Ÿ‘‰ Learn how to find the extreme values of a function using the extreme value theorem. The extreme values of a function are the points/intervals where the graph is decreasing, increasing, or has an inflection point. A theorem which guarantees the existence of the maximum and minimum points

From playlist Extreme Value Theorem of Functions

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Bounded Harmonic Functions on Graphs by Itai Benjamini

PROGRAM: PROBABILISTIC METHODS IN NEGATIVE CURVATURE (ONLINE) ORGANIZERS: Riddhipratim Basu (ICTS - TIFR, Bengaluru), Anish Ghosh (TIFR, Mumbai) and Mahan M J (TIFR, Mumbai) DATE & TIME: 01 March 2021 to 12 March 2021 VENUE: Online Due to the ongoing COVID pandemic, the meeting will

From playlist Probabilistic Methods in Negative Curvature (Online)

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Reliability 1: External reliability and rater reliability and agreement

In this video, I discuss external reliability, inter- and intra-rater reliability, and rater agreement.

From playlist Reliability analysis

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Modified Logarithmic Sobolev Inequalities: ... (Lecture 3) by Prasad Tetali

PROGRAM: ADVANCES IN APPLIED PROBABILITY ORGANIZERS: Vivek Borkar, Sandeep Juneja, Kavita Ramanan, Devavrat Shah, and Piyush Srivastava DATE & TIME: 05 August 2019 to 17 August 2019 VENUE: Ramanujan Lecture Hall, ICTS Bangalore Applied probability has seen a revolutionary growth in resear

From playlist Advances in Applied Probability 2019

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Alan Sola: Clark measures for rational inner functions

HYBRID EVENT Recorded during the meeting "Frontiers of Operator Theory" the November 30, 2021 by the Centre International de Rencontres Mathรฉmatiques (Marseille, France) Filmmaker: Guillaume Hennenfent Find this video and other talks given by worldwide mathematicians on CIRM's Audiovis

From playlist Analysis and its Applications

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Learn how to evaluate left and right hand limits of a function

๐Ÿ‘‰ Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

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Wiener process | Merton's portfolio problem | Geometric Brownian motion | Quadratic programming | Derivative | Logarithm | Intertemporal portfolio choice | Geometric mean | Risk of ruin | Ergodicity | Proebsting's paradox | Daniel Bernoulli | Maxima and minima | Variance | Odds | Taylor series | Formula | Expected value | Leverage (finance) | Probability theory | St. Petersburg paradox | Gambling and information theory | Diversification (finance)