The Kelly criterion and fixed fraction betting

The Kelly criterion and fixed fraction betting is briefly introduced and extended to left bounded profit/loss distributions (i.e. profit/loss distributions that are bounded from the left). Various inequalities are studied and analytical tools are offered. Click here for the full text. Introduction Let $X$ be a real ... Read more »
14 years ago

Hidden Markov Models

Hidden Markov models (HMMs) are briefly introduced and the major results are collected: Maximum likelihood inference, the Baum-Welch algorithm, and Monte-Carlo approaches. The document also contains an overview of selected HMMs that are of particular practical use. Click here. ... Read more »
15 years ago

The Economic Factor Model and a class of affine term structure models

The economic factor model is an affine term structure model where the factors have a particular economic interpretation. The general affine n-factor term structure model is presented and the EFM as a special case is developed in detail. The results include general expressions for dynamics bond prices, forward curves and ... Read more »
22 years ago