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Position Sizing
Hi guys,I am quite interested in position sizing, perhaps as research subject for a PhD in Computational Finance.Unfortunately there are very few research on the subject (Kelly + classic anti-martingale etc..).Can you kindly point me to interesting recent papers on the subject.Thanks
Position Sizing
Hi, Is this also related to portfolio optimization as well? Given the covar-var structure, you could decide how you can allocate your money into each stock.I'm interested in this as well and wait for gurus comments.
Position Sizing
You can look at stuff like Ryan Jones' fixed fraction, Ralph Vince's optimal f/leveraged space model, and some of Sid Browne's old papers as a starting point.