William Poundstone

William Poundstone, a professional journalist, twice nominated for the Pulitzer prize, had endless discussions with major players related to the Kelly criterion, such as Ed Thorp, Tom Cover, Nils Hakansson, Harry Markowitz, Robert Merton, Paul Samuelson, and myself. He listened to us and on balance provides a good account of this approach for those not able to read the technical literature on the Kelly or capital growth criterion. In addition, there is fascinating discussion of the lives of the...

The Colocation Of Money And Math

Be especially wary of advice of the doubling up strategies Martingales, pyramids, etc. While such systems may allow you to make small profits most of the time, the gigantic losses you suffer once in a while yield losses in the long run. The most useful result that we have for unfavorable games is that if you want to maximize your chances of achieving a goal before falling to some lower wealth level, you should use bold play. With bold play you do not let the casino defeat you by grinding out...

Trade Nikkei put warrant risk arbitrage

A difference of opinion the Japanese stock market cannot fall (Japanese) vs the prices are way too high so the market will crash (others) In this, the first of five chapters focusing on hedge funds, general strategies, types of funds and a successful trade are discussed. Chapter 10 discusses ways to lose money in derivatives and Chapters 11-13 focus on hedge fund disasters, their prevention and related risk control. Hedge funds are pooled investments that attempt to obtain superior returns for...

The Challenge In Attracting Investment

Net FDI to Egypt has averaged about 600 million per year from 2000-2003. FDI for fiscal year 2002-2003 totaled 700.6 million, an increase of about 200 million dollars over each of the previous two years Central Bank of Egypt Monthly Statistical Bulletin, January 2004 . According to the World Bank, the level of FDI has declined by almost half over the past three years statement at December 2003 Egypt Invest conference . However, such numbers and their significance remain contested. At the...

Preface

This book discusses scenarios for risk management and developing global investment strategies. We are guided by the use of careful analysis to generate prospective scenarios. Simply put, what are the chances that various future events will occur over time How should these events and their chances influence investment decisions Assessing all possible outcomes is fundamental to risk management, financial engineering and investment strategies. We believe that a careful consideration of future...

Week On The Wild Side

The Economist Week The Wild Side

The week of October 20-25, 1997 was difficult for equity markets with the Hang Seng dropping sharply. The S amp P was also shaky. The November 830 puts were 60 cents on Monday, Tuesday and Wednesday but rose to 1.20 on Thursday and 2.40 on Friday. The Hang Seng dropped over 20 in a short period including a 10 drop on Friday, October 25. The S amp P500 was at 976 substantially above 830 as of Friday's close. A further 5 drop in Hong Kong on Monday, October 27 led to a panic in the S amp P500...

Harald Mcpike Hedge Fund Nassau

Paul Samuelson

Indeed only 4 out of 30 funds beat the TSE index of 34.9 and their average return was 19.1 , more than 15 points below the Topix. Over time the hard efficient market line has softened into a Risk Premium RP camp. They feel that markets are basically efficient but one can realize extra return by bearing additional risk. They strongly argue that, if returns are above average, the risk must be there somewhere you simply cannot get higher returns without bearing additional risk...