Problem sets
Problems
Every problem in the course. Solutions sit behind a deliberate step on each problem page.
to difficulty Check numeric answers checked on the page
16 shown
M03 The mathematics of betting: expectancy, Kelly, ruin 16
- P1 A trade journal in R ★ Check
- P2 Binary Kelly and its growth rate ★★ Check
- P3 Kelly versus expected wealth ★★ Check
- P4 Where does overbetting turn negative? ★★★ Check
- P5 Continuous-time Kelly from a discrete step ★★ Check
- P6 Choosing a Kelly fraction from a drawdown limit ★★ Check
- P7 Estimation risk ★★ Check
- P8 Two-asset Kelly ★★ Check
- P9 Gaps change everything ★★★ Check
- P10 Gambler's ruin with pushes ★★ Check
- P11 Expected duration by martingales ★★ Check
- P12 The Lundberg exponent at half Kelly ★★★ Check
- P13 Drawdowns of a Sharpe-0.8 strategy ★★ Check
- P14 Position sizing across instruments ★ Check
- P15 Case analysis: LTCM's leverage arithmetic ★★★ Check
- P16 Case analysis: the arithmetic of retail option buying ★★ Check