Performance measurement is one of the most studied subjects in financial literature. Since
the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared …

Stock price prediction is a rich research topic that has attracted interest from various areas of
science. The recent success of machine learning in speech and image recognition has …

This survey discusses the state of the art in research in racetrack and lottery investment
markets. Market efficiency and the pricing of various wagers are studied along with new …

The paper models evolution in pecunia—in the realm of finance. Financial markets are
explored as evolving biological systems. Diverse investment strategies compete for the …

The Kelly capital growth investment strategy maximizes the expected utility of final wealth
with a Bernoulli logarithmic utility function. In 1956, Kelly showed that static expected log …

There is no way my travels and experiences can begin to match Leonardo's but at least I set
a high goal. In this book, I trace a career from a small town in Massachusetts to the big time …

Abstract The Kelly Capital Growth Investment Strategy (KCGIS) is to maximize the expected
utility of nal wealth with a logarithmic utility function. This approach dates to Bernoulli's 1738 …

What makes futures hedge funds fail? The common ingredient is over betting and not being
diversified in some bad scenarios that can lead to disaster. Once troubles arise, it is difficult …

—Warren Buffett, 1994 Berkshire Hathaway Annual Report Many famous investors are out-
spoken about their investment philosophies, and carefully apply them to a select number of …

The authors propose a robust optimisation approach to construct realistic constrained multi-
strategy portfolios that starts with the identification of different sources of excess returns and …