This paper will discuss position sizing based upon three different models: Portfolio theory, Kelly betting and the Alternative investment model which represent the 1% rule. We will then construct a simple trend following trading model where an investor is faced with a hefty 88% chances of a...

This paper discusses serial dependence from both a theoretical and an empirical perspective. Rescale Range Analysis (RRA), Hurst exponents, Autoregressive Integrated Moving Average (ARIMA) models and Fractal Brownian Motions (FBM) are some of the concepts discussed and analyzed. Daily and...

We will in this paper discuss portfolio theory and portfolio optimization. Traditionally Quadratic Programming (QP) has been used to solve portfolio optimization problems. However, when an investor is faced with a large universe of securities the performance of QP will decrease. This paper shows...

Trend following strategies have the reputation of being the holy grail of investment. This paper investigates the trend following strategy both from a theoretical and empirical perspective. This article also discusses conditional expected return and the drawdown with Value at Risk (VaR). VaR...

The purpose of this study is to discuss portfolio theory. More specifically how an investor can maximize a portfolio's expected return while at the same time trying to minimize portfolio risk. This will be done by looking at both international and Kuwaiti stock market data. One important...

This paper shows that there exist simple and intuitive solutions to the somewhat complex dynamics that often results from Parrondo games which can easily be traced out and understood by using simple flowcharts. The analysis is based upon four different types of Parrondo games. The relationship...

An investment manager can solve portfolio optimizations problems in many different ways. However, he needs to be very careful when it comes to selecting optimization algorithms because the performance can be very different especially when the global universe of assets is large. We will in this...

We will in this paper investigate if a Tactic Asset Allocation (TAA) decision tool such as the slope of a moving average on the asset return will result in a statistical higher profit for an investor compared to a simple random investment strategy. The result indicates that a moving average...

Keynesian economics was created as a direct response to the great depression in the 1930's. Keynesian economics today is perverted. I doubt that Keynes original idea was Quantitative Easing (QE) to infinity. We will in this paper discuss Keynesian economics and some of the faulty assumptions

Government usually tends to have two options. They can either pursue a tax revenue maximizing strategy or a growth maximizing strategy. The two approached do not necessarily go hand in hand. This paper derives and empirically estimates a simple laissez faire optimal taxation model from the...