Research Papers

[badcompany]

I'm always looking for good stuff to read. If you've come across anything financial related, feel free to post it, here:

Here's one I found informative and interesting:

http://web.mit.edu/alo/www/Papers/august07.pdf

[Robert Goren]

Thank you for posting this. I am maybe about a fifth the way through and find it fascinating. At this point most of us are Quant handicappers (whether we admit it or not) and we need to reminded from time that our methods have holes in them that are easily seen. 25 SD events do happen.

[vegasone]

Most of the Quants were over leveraged and operated under the impression they had found the key to the vault. A "Black Swan" event was not in their vocabulary. Some great books out there explaining their downfall.

[jfdinneen]

badcompany,

Perhaps Re-Examining the Hidden Costs of the Stop-Loss would be of interest!

John

[badcompany]

Originally Posted by jfdinneen

badcompany,

Perhaps Re-Examining the Hidden Costs of the Stop-Loss would be of interest!

John

Good one. Thanks.

That said, I believe the Author misses the point. A stop loss can often serve as an insurance policy which can protect you from a devastating loss from a crash as was the case in 2008.

Of course, not having insurance can often save you money, but, it doesn't change the fact that you put yourself in a high risk position.

[badcompany]

This is a good one. IMO, Position Sizing gets way too little attention, compared to stock picking.

http://turtletrader.com/position_sizing.pdf

[PaceAdvantage]

Position sizing is a no brainer. Most retail traders take on WAY TOO big of a position for their account size. I know I'm guilty of it...

[badcompany]

Originally Posted by PaceAdvantage

Position sizing is a no brainer. Most retail traders take on WAY TOO big of a position for their account size. I know I'm guilty of it...

Position Sizing is the one area where you can be perfect and bat 1.000.

In financial markets or horseracing it's unavoidable to make bad decisions with regard to timing or stock/horse selection, but, if your rule is that you only risk X% of your bankroll on a stock/race, there's no excuse other than mental weakness to not do so.

[whodoyoulike]

BadCompany

I think reviewing doctoral and master dissertations is a good idea. I remember University libraries keeping these on file. Is that what you're doing? Are they available on-line? My experience is way before the internet.

[badcompany]

Originally Posted by whodoyoulike

BadCompany

I think reviewing doctoral and master dissertations is a good idea. I remember University libraries keeping these on file. Is that what you're doing? Are they available on-line? My experience is way before the internet.

I usually just type in a keyword like "Position Sizing" and see what comes up.

[incoming]

Has anyone tried kelly criterion, I know at one time it was extremely popular in horse racing?

[whodoyoulike]

Originally Posted by badcompany

I usually just type in a keyword like "Position Sizing" and see what comes up.

You should see if University libraries have the dissertations avail on-line. If they do, I would think Univ. of Chicago, Harvard, Stanford, UCLA, or Wharton would be a gold mine for you. If not avail., you should take a visit to your local University and see what they have.

[badcompany]

Originally Posted by whodoyoulike

You should see if University libraries have the dissertations avail on-line. If they do, I would think Univ. of Chicago, Harvard, Stanford, UCLA, or Wharton would be a gold mine for you. If not avail., you should take a visit to your local University and see what they have.

Good idea, thanks.

Got this one from Wharton

[whodoyoulike]

I don't get it. Is it on-line? The heading indicates Stanford.edu.

[badcompany]

Originally Posted by whodoyoulike

I don't get it. Is it on-line? The heading indicates Stanford.edu.

http://www.wharton.upenn.edu/faculty...blications.cfm