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White papers on Risk Management (Read 5501 times)
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White papers on Risk Management
06/25/11 at 08:19:20
 
This section lists white papers on Risk Management. Since we respect copyright, the section contains only links to external sources and short abstracts.

For consistency, please use the following format:

Surname#1, N#1. and N#2., Surname#2 (or Surname#1, N#1 et al), date of publication, source

Paper Title
http://link

Abstract

Short abstract.
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Re: White papers on Risk Management
Reply #1 - 06/25/11 at 08:33:33
 
Thorp, E., 1997, Finding the Edge: Mathematical Analysis of Casino Games, edited by O. Vancura, J.A. Cornelius, W.R. Eadington, 2000. Corrections added April 20, 2005.

THE KELLY CRITERION IN BLACKJACK SPORTS BETTING,
AND THE STOCK MARKET

http://www.pitt.edu/~sorc/trade/files/RiskManagement/kelly.pdf

Abstract

The central problem for gamblers is to find positive expectation bets. But the gambler also needs to know how to manage his money, i.e., how much to bet. In the stock market (more inclusively, the securities markets) the problem is similar but more complex. The gambler, who is now an “investor”, looks for “excess risk adjusted return”. In both these settings, we explore the use of the Kelly criterion, which is to maximize the expected value of the logarithm of wealth (“maximize expected logarithmic utility”). The criterion is known to economists and financial theorists by names such as the “geometric mean maximizing portfolio strategy”, maximizing logarithmic utility, the growth-optimal strategy, the capital growth criterion, etc. The author initiated the practical application of the Kelly criterion by using it for card counting in blackjack. We will present some useful formulas and methods to answer various natural questions about it that arise in blackjack and other gambling games. Then we illustrate its recent use in a successful casino sports betting system. Finally, we discuss its application to the securities markets where it has helped the author to make a thirty year total of 80 billion dollars worth of “bets”.
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