Economists have given great attention to stock markets in their efforts to test the concepts of
market efficiency and rationality. Yet wagering markets are, in one key respect, better suited …

This volume provides the definitive treatment of fortune's formula or the Kelly capital growth
criterion as it is often called. The strategy is to maximize long run wealth of the investor by …

Many racetrack bettors have systems. Since the track is a market similar in many ways to the
stock market one would expect that the basic strategies would be either fundamental or …

Most practical decision problems involve uncertainty. Stochastic programming is the study of
procedures for decision making under uncertainty over time. The uncertainty can be in the …

We study how incentive fees and manager’s own investment in the fund affect the investment
strategy of hedge fund managers. We find that loss averse managers increase the risk of …

… There is considerable evidence supporting the proposition that it is possible to identify races
where there is a substantial edge in the bettor's favor (see the survey by Hausch & Ziemba […

… 50, errors in means are about eleven times as important as errors in variances, a result
similar to that of Kallberg & Ziemba. Errors in variances are about twice as important as errors in …

The underlying theme of this volume is how to invest assets over time to achieve satisfactory
returns subject to uncertainties, various constraints and liability commitments. Most investors…

Frank Russell Company and The Yasuda Fire and Marine Insurance Co., Ltd., developed an
asset/liability management model using multistage stochastic programming. It determines …

In managing its assets and liabilities in light of uncertainties in cash flows, cost of funds and
return on investments, a bank must determine its optimal trade-off between risk, return and …