Page 1 of 1
Position Sizing
Posted: November 25th, 2009, 9:08 pm
by dardar
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
Posted: December 7th, 2009, 11:54 pm
by kevien
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
Posted: January 4th, 2010, 7:50 pm
by tabris
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.