### A Prospect-Theory Approach To The Kelly Criterion For Fat-Tail Portfolios: The Case of Student’s t-Distribution

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The Libor Market Model of Brace Gatarek and Musiela (BGM) (1997) is the market standard model for pricing and hedging exotic interest rate derivatives. Its advantages include model parameters which are easy to interpret in […]

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The fundamental concepts that shape modern capital structuring theory were first put together by Modigliani and Miller [M&M] (1958) in a series of propositions. These propositions have, for many years, dominated the thought process by […]

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Winning has two parts: getting an edge and then betting well. The former simply means that investments have an advantage so $1 invested returns on average more than $1. The latter involves not overbetting, and […]

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In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. […]

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One of the classic works of poker, and risk management, is Herbert Yardley’s 1957 best-seller, The Education of a Poker Player, Including Where and How One Learns to Win. Yardley is an important transitional figure. […]

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