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[theory-seminar] Reminder: Happening now! talk at 4:30pm Thursday Oct 10, 2019 at Green Earth Sciences Building, Rm 150

Qingyun Sun qysun at stanford.edu
Thu Oct 10 16:26:48 PDT 2019


Hi, everyone,

I am giving a talk at ICME seminar, you are welcome to come!



Linear Algebra and Optimization Seminar (CME 510)
  ICME, Stanford University  http://icme.stanford.edu/
  https://canvas.stanford.edu/courses/105257

  4:30pm Thursday Oct 10, 2019
  Green Earth Sciences Building, Rm 150

  Qingyun Sun
  Mathematics, Stanford University
  qysun at stanford.edu<mailto:qysun at stanford.edu>

  Distributional Robust Kelly Strategy

I present two applications of convex optimization to finance and game theory.

First, I introduce the Kelly strategy to maximize long-run wealth of the
investor by maximizing the expected logarithmic utility of wealth.  It is called
"Fortune's formula" by Edward Thorp.  The Kelly strategy is dominant over all
other strategies in the long run but can also lead to considerable losses a
small percent of the time.

Second, to avoid large losses in worst cases, I introduce the distributional
robust Kelly strategy.  I then show how to transform the distributional robust
problems into tractable convex optimization problems for a large class of
uncertainty sets, and demonstrate their performance in horse betting games.


Best
Qingyun(Bill)
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