latest posts

COVER_balance
A voting machine or a weighing machine?
“In the short run, the market is a voting machine but in the long run, it is a weighing machine” is attributed to Benjamin Graham. Another industry giant, John Bogle, categorized total stock market returns...
Cover_Maze
The Kelly criterion in the presence of uncertainty about risk
Unlike the realized past, the future always involves uncertainty. The uncertainty related to risk has a variety of implications that are not widely recognized. We will show analytically and demonstrate...
Cover
Time diversification works (eventually)
Academics have long debated the concept of time diversification, which questions whether time reduces the risk for stock investors or not. Prominent academics, led by Paul Samuelson, have shown (usually...
fortune-telling-1989579_1920
Market timing lessons drawn from a clairvoyant
Consider a clairvoyant who can accurately predict two market parameters, Sharpe ratio and volatility, for the forthcoming 10-year period. Clairvoyant selects his stock allocation (leverage multiplier)...