Vasily Nekrasov

letYourMoneyGrow.com

SCHOLARLY PAPERS

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Scholarly Papers (3)

1.

Kelly Criterion for Multivariate Portfolios: A Model-Free Approach

Number of pages: 15 Posted: 02 May 2013 Last Revised: 30 Sep 2014
Vasily Nekrasov
letYourMoneyGrow.com
Downloads 14,539 (409)
Citation 5

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Kelly criterion, money management, multivariate portfolios, fractional Kelly strategies, analytic and numerical approximation, portfolio optimization on GPUs, CUDA

2.
Downloads 480 (90,904)

Abstract:

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term structure modeling, vasicek model, black formula 76, HLM. multivariate LIBOR Market model, tutorial for self-studying

3.
Downloads 294 (157,241)

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volatility measurement, Fourier series method