This notebook contains material from CBE40455-2020; content is available on Github.
7.0 Risk and Diversification¶
7.0.1 Popular books¶
There is a popular literature on the role of randomness in financial and engineering analysis. This is a small selection along with links to related material and commentaries.
Poundstone, William. Fortune's Formula: The untold story of the scientific betting system that beat the casinos and wall street. Hill and Wang, 2010. https://www.amazon.com/Fortunes-Formula-Scientific-Betting-Casinos-ebook/dp/B000SBTWNC
MacLean, Leonard C., et al. "How Does the Fortune’s Formula Kelly CapitalGrowth Model Perform?." The Journal of Portfolio Management 37.4 (2011): 96-111. http://hari.seshadri.com/docs/kelly-betting/kelly1.pdf
Ziemba, Bill. "Fortune's Formula." Wilmott 2018.94 (2018): 32-37. https://alphazadvisors.com/wp-content/uploads/2018/06/Ziemba-2018-Wilmott_Fortunes_Formula.pdf
Wójtowicz, Michał. "A counterexample to the Fortune’s Formula investing method." Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A. Matemáticas 113.2 (2019): 749-767. https://link.springer.com/article/10.1007/s13398-018-0508-x
Taleb, Nassim Nicholas. The black swan: The impact of the highly improbable. Vol. 2. Random house, 2007. https://www.amazon.com/Black-Swan-Improbable-Robustness-Fragility/dp/081297381X
- Taleb, Nassim Nicholas. "Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications." arXiv preprint arXiv:2001.10488 (2020). https://arxiv.org/pdf/2001.10488.pdf
Thorp, Edward O. A man for all markets: From Las Vegas to wall street, how i beat the dealer and the market. Random House Incorporated, 2017. https://www.amazon.com/Man-All-Markets-Street-Dealer/dp/0812979907