This paper discusses the state of the art in research in racetrack and lottery investment markets. Market efficiency and the pricing of various wagers is studied along with new developments since the Thaler and Ziemba (1988) review. The weak form inefficient market approach using stochastic...

This paper categorizes investors into five groups. They are: efficient markets, risk premium, genius superior traders, rejectors of efficient market theory and those who use research to make superior risk adjusted returns. Successful investment involves estimation and optimization and these are...

This paper reviews contributions to portfolio theory and practice by William T. Ziemba and his colleagues. The paper covers static and dynamic portfolio and capital growth theory along with real applications to asset and asset-liability management and various types of trading and prediction and...

It is widely believed that the 1/n portfolio provides a good ex-post performance. Several studies have compared the 1/n portfolio with respect to a set of optimal mean-variance policies to prove or disprove the superiority of the 1/n portfolio. However, this approach is not likely to yield a...

The Kelly Capital Growth Investment Strategy (KCGIS) is to maximize the expected utility of nal wealth with a logarithmic utility function. This approach dates to Bernoulli's 1738 suggestion of log as the utility function arguing that marginal utility was proportional to the reciprocal of...

AbstractThe following sections are included:The January effectCommodity trading: investing in the January small cap effect in the index futures marketsConclusion

AbstractAs I write on Sunday November 22, 2010, this I am watching the TV analysts discuss this controversial decision on Sunday, November 15. They are all ex-National Football League star players with an announcer. Their analysis is seat of the pants. But is that the right way to analyze...

AbstractThe following sections are included:Types of sovereign fundsIs there a common asset allocation for pension funds?Sovereign Pension funds and International Capital MarketsGovernance Issues of public pension fundsIntergenerational borrowingRegional TrendsAsiaMiddle EastEuropeConclusion

AbstractWe know that on average the typical mutual fund does not beat the market. The evidence is that professional managers all over the world have a hard time beating the market averages. In a given year, only about 25% to 40% of managers actually beat a buy-and-hold strategy of holding the...

AbstractThe following sections are included:Predictive Ability of the Bond-Stock Earnings Yield Difference Model