Essays about: "Kelly criterion"

Found 4 essays containing the words Kelly criterion.

  1. 1. Forecasting Football Corner Odds: Statistical Modelling, Betting Strategies and Assessing Market Efficiency

    University essay from Lunds universitet/Matematisk statistik

    Author : Gustav Pålsson; Marcus Laurens; [2023]
    Keywords : Mathematics and Statistics;

    Abstract : Statistical modelling could be included in a betting strategy where the value of a bet is assessed by comparing model predictions and market odds. This thesis presents several models based on statistical learning methods for predicting the total number of corners in a football match. READ MORE

  3. 2. Application of the Kelly Criterion on a Self-Financing Trading Portfolio -An empirical study on the Swedish stock market from 2005-2015

    University essay from

    Author : Oskar Markusson; Emil Ohlsson; [2017-07-05]
    Keywords : Kelly Strategy; Portfolio Money Management; Abnormal Returns; Swedish Equities; Geometric Mean Maximization; Kelly Criterio;

    Abstract : A Kelly strategy theoretically optimizes the growth rate of investor’s capital. This paper evaluates its usefulness on the Swedish stock market between 2005 and 2015 by comparing returns to that of common portfolio strategies and a market index. READ MORE

  4. 3. Money Management Using the Kelly Criterion : An Application of the Kelly Criterion on an Intraday Trading Strategy Based on the Swedish Stock Market Index OMXS30

    University essay from Umeå universitet/Nationalekonomi

    Author : Mårten Hagman; [2015]
    Keywords : ;

    Abstract : .... READ MORE

  5. 4. Black Swan Investing: An empirical study in context of efficient markets

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Aleksis Tastsidis Olsson; Pontus Löfberg; [2014]
    Keywords : Black Swans; Efficient market hypothesis; Fat-tails; Kelly criterion; Outliers; Trading strategy; Unknown unknowns; Business and Economics;

    Abstract : Purpose: The purpose of this paper is to assess the sustainability of the efficient market theorem when accounting for extreme events, which are of the essence in a Black Swan investment philosophy. Methodology: Quantitative approach. READ MORE