What is the Kelly Criterion
What is the Kelly Criterion?
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The Kelly criterion is a method for maximizing expected growth of assets by optimally investing a fixed fraction of your wealth in a series of investments. The concept has long been used in the world of gambling.
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Given: price of Nokia shares on the Helsinki stock exchange=12 euros, exchange rate=$1.3/euro, price of the ADR on the NYSE=$15 and each foreign share translates into 1 ADR. Show the actions you would take to make risk free arbitrage profits.
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Good fellow national bank decided to compete with a savings and loan by offering 30 year fixed rate mortgage loans at 8% annual interest. It plans to obtain the money got the loans by selling one year 6% CD to it's depositors. During first year of operation, good fellows sold it's depositors 1,000,0
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