Sökning: "Kelly criterion"

Hittade 4 uppsatser innehållade orden Kelly criterion.

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

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Gustav Pålsson; Marcus Laurens; [2023]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : 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. LÄS MER

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

    Kandidat-uppsats,

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

    Sammanfattning : 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. LÄS MER

  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

    Master-uppsats, Umeå universitet/Nationalekonomi

    Författare :Mårten Hagman; [2015]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

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

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

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

    Sammanfattning : 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. LÄS MER