orfe   70

« earlier    

ON THE GEOMETRY OF NASH EQUILIBRIA AND CORRELATED EQUILIBRIA
Abstract: It is well known that the set of correlated equilibrium distributions of an n-player noncooperative game is a convex polytope that includes all the Nash equilibrium distributions. We demonstrate an elementary yet surprising result: the Nash equilibria all lie on the boundary of the polytope.
pdf  nibble  papers  ORFE  game-theory  optimization  geometry  dimensionality  linear-algebra  equilibrium  structure  differential  correlation  iidness  acm  linear-programming  spatial  characterization  levers 
10 weeks ago by nhaliday
Vladimir Novakovski's answer to What financial advice would you give to a 21-year-old? - Quora
Learn economics and see that investment and consumption levels (as percentages) depend only marginally on age and existing net worth and mostly on your risk preferences and utility function.
qra  q-n-a  oly  advice  reflection  personal-finance  ORFE  outcome-risk  investing  time-preference  age-generation  dependence-independence  economics 
february 2019 by nhaliday
Twitter
L'ó
associació de tipus - creada el 1922, sobre l'experiència d'un primer grup…
cultural-  Ulldeconenc  Orfe  musical  from twitter_favs
june 2018 by deckard67
The rate of return on everything - Marginal REVOLUTION
Here is what I learned from the paper itself:

1. Risky assets such as equities and residential real estate average about 7% gains per year in real terms.  Housing outperformed equity before WWII, vice versa after WWII.  In any case it is a puzzle that housing returns are less volatile but about at the same level as equity returns over a broader time span.
2. Equity and housing gains have a relatively low covariance.  Buy both!
3. Equity returns across countries have become increasingly correlated, housing returns not.
4. The return on real safe assets is much more volatile than you might think.
5. The equity premium is volatile too.
6. The authors find support for Piketty’s r > g, except near periods of war.  Furthermore, the gap between r and g does not seem to be correlated with the growth rate of the economy.

I found this to be one of the best and most interesting papers of the year.
econotariat  marginal-rev  commentary  study  summary  economics  macro  investing  ORFE  securities  data  street-fighting  objektbuch  scale  time-preference  cost-benefit  outcome-risk  housing  money  monetary-fiscal  debt  history  mostly-modern  world-war  trends  correlation  moments  growth-econ  inequality  piketty  stylized-facts  war  meta:war 
december 2017 by nhaliday
'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance by Attilio Meucci :: SSRN
There exist two separate branches of finance that require advanced quantitative techniques: the "Q" area of derivatives pricing, whose task is to "extrapolate the present"; and the "P" area of quantitative risk and portfolio management, whose task is to "model the future."

We briefly trace the history of these two branches of quantitative finance, highlighting their different goals and challenges. Then we provide an overview of their areas of intersection: the notion of risk premium; the stochastic processes used, often under different names and assumptions in the Q and in the P world; the numerical methods utilized to simulate those processes; hedging; and statistical arbitrage.
study  essay  survey  ORFE  finance  investing  probability  measure  stochastic-processes  outcome-risk 
december 2017 by nhaliday
Farm (revenue leasing) - Wikipedia
Tax farming was originally a Roman practice whereby the burden of tax collection was reassigned by the Roman State to private individuals or groups. In essence, these individuals or groups paid the taxes for a certain area and for a certain period of time and then attempted to cover their outlay by collecting money or saleable goods from the people within that area.[5] The system was set up by Gaius Gracchus in 123 BC primarily to increase the efficiency of tax collection within Rome itself but the system quickly spread to the Provinces.[6] Within the Roman Empire, these private individuals and groups which collected taxes in lieu of the bid (i.e. rent) they had paid to the state were known as publicani, of whom the best known is the disciple Matthew, a publicanus in the village of Capernaum in the province of Galilee. The system was widely abused, and reforms were enacted by Augustus and Diocletian.[7] Tax farming practices are believed to have contributed to the fall of the Western Roman Empire in Western Europe.[8]
concept  finance  ORFE  taxes  political-econ  institutions  government  leviathan  wiki  reference  history  iron-age  mediterranean  the-classics  gibbon  roots  britain  broad-econ  economics  rent-seeking 
october 2017 by nhaliday
Kelly criterion - Wikipedia
In probability theory and intertemporal portfolio choice, the Kelly criterion, Kelly strategy, Kelly formula, or Kelly bet, is a formula used to determine the optimal size of a series of bets. In most gambling scenarios, and some investing scenarios under some simplifying assumptions, the Kelly strategy will do better than any essentially different strategy in the long run (that is, over a span of time in which the observed fraction of bets that are successful equals the probability that any given bet will be successful). It was described by J. L. Kelly, Jr, a researcher at Bell Labs, in 1956.[1] The practical use of the formula has been demonstrated.[2][3][4]

The Kelly Criterion is to bet a predetermined fraction of assets and can be counterintuitive. In one study,[5][6] each participant was given $25 and asked to bet on a coin that would land heads 60% of the time. Participants had 30 minutes to play, so could place about 300 bets, and the prizes were capped at $250. Behavior was far from optimal. "Remarkably, 28% of the participants went bust, and the average payout was just $91. Only 21% of the participants reached the maximum. 18 of the 61 participants bet everything on one toss, while two-thirds gambled on tails at some stage in the experiment." Using the Kelly criterion and based on the odds in the experiment, the right approach would be to bet 20% of the pot on each throw (see first example in Statement below). If losing, the size of the bet gets cut; if winning, the stake increases.
nibble  betting  investing  ORFE  acm  checklists  levers  probability  algorithms  wiki  reference  atoms  extrema  parsimony  tidbits  decision-theory  decision-making  street-fighting  mental-math  calculation 
august 2017 by nhaliday
Skin or Skim? Inside Investment and Hedge Fund Performance by Arpit Gupta, Kunal Sachdeva :: SSRN
We find that funds with greater investment by insiders outperform funds with less "skin in the game" on a factor-adjusted basis; exhibit greater return persistence; and feature lower fund flow-performance sensitivities.
study  economics  finance  ORFE  investing  paying-rent  business  industrial-org 
june 2017 by nhaliday

« earlier    

related tags

acm  advanced  advice  age-generation  algorithms  analogy  anglosphere  applications  asia  atoms  betting  bias-variance  big-peeps  biophysical-econ  bits  books  britain  broad-econ  business  calculation  caltech  capital  cartoons  causation  characterization  chart  checklists  civilization  classic  columbia  commentary  comparison  complex-systems  concentration-of-measure  concept  confluence  confusion  contracts  convexity-curvature  correlation  cost-benefit  course  cultural-  curvature  cycles  data  database  dataset  debt  decision-making  decision-theory  definition  density  dependence-independence  differential  dimensionality  direction  distribution  draft  dynamic  early-modern  econometrics  economics  econotariat  education  efficiency  empirical  energy-resources  epistemic  equilibrium  error  essay  examples  existence  expectancy  explanans  explanation  exposition  extrema  finance  formal-values  game-theory  garett-jones  gedanken  generalization  geography  geometry  giants  gibbon  government  growth-econ  guide  handel  healthcare  high-dimension  history  housing  howto  hsu  human-bean  ideas  identity  ieee  iidness  incentives  industrial-org  industrial-revolution  inequality  info-dynamics  info-foraging  init  institutions  insurance  integral  interdisciplinary  intervention  intuition  investing  iron-age  israel  jargon  korea  lecture-notes  lens  let-me-see  levers  leviathan  limits  linear-algebra  linear-programming  linearity  links  list  long-short-run  longitudinal  macro  magnitude  map-territory  maps  marginal-rev  marginal  market-failure  markets  martingale  math.ca  math.ds  math.fa  math  measure  mediterranean  mental-math  meta:prediction  meta:war  metabuch  methodology  metrics  micro  mit  models  modernity  moments  monetary-fiscal  money  mostly-modern  multi  multiplicative  musical  news  nibble  nihil  nitty-gritty  noise-structure  objektbuch  ocw  old-anglo  oly  optimization  org:anglo  org:biz  org:econlib  org:edu  org:fin  org:gov  org:junk  org:nat  org:rec  organization  oscillation  outcome-risk  overflow  p:someday  papers  parsimony  paying-rent  pdf  people  personal-finance  personality  physics  pic  piketty  plots  policy  political-econ  population  power-law  pre-ww2  prediction  prepping  preprint  princeton  probability  proofs  properties  q-n-a  qra  quantitative-qualitative  quantum  quixotic  rationality  recommendations  reference  reflection  rent-seeking  replication  rigor  risk  roots  s:*  scale  scitariat  search  securities  sequential  signal-noise  simulation  sleuthin  slides  social  sociology  spatial  stackex  statistics  stats  stochastic-processes  street-fighting  structure  study  stylized-facts  summary  supply-demand  survey  symmetry  tails  talks  taxes  technology  the-classics  the-world-is-just-atoms  theory-practice  thinking  tidbits  time-preference  time  tools  top-n  trends  tricks  tutorial  twitter  ulldeconenc  uncertainty  uniqueness  unit  usa  values  variance-components  visual-understanding  visualization  volo-avolo  von-neumann  war  white-paper  wiki  winter-2017  wonkish  working-stiff  world-war  world  wormholes  yoga  🎩 

Copy this bookmark:



description:


tags: