Bihary, Zsolt (Corvinus University of Budapest)
Managing
investment funds with Kelly and Kalman
How much of our wealth should we invest if we come across a promising, but
risky investment opportunity? What if such opportunities arise every day? How
can we decide how attractive a given investment opportunity is?
We will study this problem with the help of a simplified investment fund model.
We can optimize passive fund management strategies with the Kelly criterion.
For optimizing active management strategies, we will combine the Kelly
criterion with the Kalman filter methodology.
Date: Dec. 8, Tuesday 4:15pm
Place: BME, Building „Q”, Room QBF13