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Tennis Racquets From the Lab
My father in law was an engineering professor and used to do some consulting to help tennis racquet companies test out their prototype designs. From this work he collected all kinds of wacky designs that were just sitting in his garage and have now been graciously passed on to me – wanted to put them…
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Your Optimal Investment Portfolio Redux
In my last post I walked through the math of building a Kelly-optimal investment portfolio. Plug in some expected returns, volatilities, and correlations, run an optimizer, and boom you’ve got your portfolio weights. Easy, right? Well, sort of. After writing that I got to thinking about some things I glossed over that actually matter a…
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Your Optimal Investment Portfolio
We’ve talked before about how to size bets and the interesting math behind it, the Kelly Critereon. A reasonable thought one might have after reading reading about Kelly is, “Gee, I have retirement investments, which are effectively bets on different stocks, bonds, and the like, and I would like to optimize my returns. What is…
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