2016-12-08 Kelly criterion lecture

剛讀完Lecture 2: The Kelly criterion for favorable games:
stock market investing for individuals https://www.stat.berkeley.edu/~aldous/157/Slides/lecture_2.pdf
結論是：I’m not going to discuss whether you should invest in the stock market at
all. If you choose to do so, here’s the academic viewpoint.
The default choice is (something like) a S&P index fund, available with very low expenses.
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If you really want to do better then there are three vaguely plausible ways
none of which I recommend.
Borrow money, if you can find a low interest rate.
Diversified Kelley-optinmized portfolio, like IFA.
Long term market timing such as the Shiller PE ratio [show