Kelly vs. Markowitz Portfolio Optimization
Comparison of portfolio optimization using Markowitz (mean-variance) and the Kelly Criterion.
Portfolio Optimization and Monte Carlo Simulation
https://ssrn.com/abstract=2438121
Source-Code in R
https://github.com/Hvass-Labs/Finance-Papers/raw/master/pedersen2014portfolio-optimization.zip
MS Excel Spreadsheet
https://github.com/Hvass-Labs/Finance-Papers/raw/master/pedersen2014portfolio-optimization.xlsx
Видео Kelly vs. Markowitz Portfolio Optimization канала Hvass Laboratories
Portfolio Optimization and Monte Carlo Simulation
https://ssrn.com/abstract=2438121
Source-Code in R
https://github.com/Hvass-Labs/Finance-Papers/raw/master/pedersen2014portfolio-optimization.zip
MS Excel Spreadsheet
https://github.com/Hvass-Labs/Finance-Papers/raw/master/pedersen2014portfolio-optimization.xlsx
Видео Kelly vs. Markowitz Portfolio Optimization канала Hvass Laboratories
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