My guest today is Ralph Vince. Vince is by profession a computer programmer writing analytical programs for funds, large traders and professional gamblers. He is the author of five books on investing in his field of expertise, portfolio management and portfolio/trade optimization.
The topic is trading.
In this episode of Trend Following Radio we discuss:
- Optimal bet sizes
- Whether Ed Thorp’s work and the Kelly criteria had any effect on Vince’s work
- The importance of knowing the optimal spot depending on your criteria
- Why maximizing profits can result in a large drawdown – and why you should be happy about that
- If diversification really does give you a free lunch
- The importance of learning the wrong approach
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