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performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to …
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-- Principle VI: Superposition -- Principle VII: Game Theory -- Chapter 4: The Secret History of Wall Street: 1654-1982 -- Pascal … -- Chapter 5: When Harry Met Kelly -- Kelly -- Harry -- Commodity Futures -- If Harry Knew Kelly -- Investment Growth Theory … Money: The Future -- Farmers and Millers -- Money, New and Improved -- A General Theory of Money -- Value and Money …
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A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed portfolio weights, is an active strategy. Winning asset classes are sold and losers are bought. During crises, when markets are often trending, this can lead to substantially larger drawdowns than a...
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Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using coherent measures of risk it is impossible to...
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