tag:blogger.com,1999:blog-5880610.post113203407071646535..comments2024-01-13T18:57:18.243-05:00Comments on Information Processing: Fortune's formulaSteve Hsuhttp://www.blogger.com/profile/02428333897272913660noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-5880610.post-83093866555284137132014-06-12T04:07:34.282-04:002014-06-12T04:07:34.282-04:00Guys u must chkout www.theBillionairesBrain.com, u...Guys u must chkout www.theBillionairesBrain.com, u'll like this.. I wish I found this years back..Sam Jnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1132105827098202122005-11-15T20:50:00.000-05:002005-11-15T20:50:00.000-05:00Original Kelly paperhttp://www.arbtrading.com/repo...Original Kelly paper<BR/><BR/>http://www.arbtrading.com/reports/kelly.pdfAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1132075599226536942005-11-15T12:26:00.000-05:002005-11-15T12:26:00.000-05:00Black was both an undergrad and grad student at Ha...Black was both an undergrad and grad student at Harvard in physics. He didn't really complete his PhD in physics, but sort of drifted into AI-related stuff(!) at MIT, under cover of math or applied math. <BR/><BR/>The bio says the only course he ever had trouble with was Schwinger's course on advanced quantum. The biographer suggests Black did poorly due to lack of interest, but I find that hard Steve Hsuhttps://www.blogger.com/profile/02428333897272913660noreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1132074456372496522005-11-15T12:07:00.000-05:002005-11-15T12:07:00.000-05:00Interesting. I read Derman's book, where he talks...Interesting. I read Derman's book, where he talks alot about Black, but I don't recall him mentioning Black's physics background.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1132073817432607472005-11-15T11:56:00.000-05:002005-11-15T11:56:00.000-05:00MFA,Sorry to be unclear. The caveat about the prob...MFA,<BR/><BR/>Sorry to be unclear. The caveat about the problem still stands. Once posed (with given probabilities or vols/returns) it can be solved; Kelly related the problem to noisy channels and information theory. Hence the appearance of portfolio theory as a topic in a book on information theory, which is usually the province of Shannon entropy, coding theory, etc. The presentation in Cover Steve Hsuhttps://www.blogger.com/profile/02428333897272913660noreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1132066457731415352005-11-15T09:54:00.000-05:002005-11-15T09:54:00.000-05:00Steve,Thanks a LOT for the book suggestions! I am...Steve,<BR/><BR/>Thanks a LOT for the book suggestions! <BR/><BR/><BR/>I am very intrigued by your comment:<BR/><I><BR/>The optimization problem described is interesting from an academic point of view, and also as a good rough guide for investors, but of course it assumes that certain quantities, such as correct probabilities of future outcomes, are knowable. That may be the case in casino Anonymousnoreply@blogger.com