This is a summary of links featured on Quantocracy on Friday, 06/08/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Kelly versus Classical portfolio theory, and the two kinds of uncertainty premium [Investment Idiocy]Since I was a young lad there has been an ongoing fight in Financial Academia 'n' Industry between two opposing camps: In the red corner are the Utilitarians. The people of classical finance, of efficient frontiers, of optimising for maximum return at some level of maximum risk. In the blue corner are the Kellyites. Worshipping at the feet of John Kelly and Ed Thorpe they have only one
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Update on Improved Currency Strength Indicator [Dekalog Blog]Following on from my previous post I have now slightly changed the logic and coding behind the idea, which can be seen in the code snippet below Essentially the change simultaneously optimises, using Octave's fminunc function, for both the gold_x and all currency_x geometric multipliers together rather than just optimising for gold and then analytically deriving the currency multipliers. The