Archive
Category: Risk Management
- June 11, 2006A Culture of Risk
The odd thing about this article (PDF) describing Wall Street’s culture of risk? Why don’t the banks and other players have a plan to make money when shit hits the fan? Why…
- April 4, 2006The Confusion of Risk and Volatility
Risk and Volatility are often confused. Read this (PDF) for clarification.
- March 22, 2006Ten Rules for Position Sizing
Ed Seykota was recently asked: “If you could give me ten rules to consider with respect to position sizing what would they be?” He responded: “Ten rules for position sizing: 1. Bet…
- February 9, 2006Bet Sizing Research
Michael Mauboussin of Legg Mason offers this recent research on bet sizing (PDF). An excerpt: “Edge is key. Recall the foundation of Kelly’s model rests on having a view that is different,…
- October 6, 2005“Risk is like that. You stamp it out in one place, and suddenly it appears somewhere else.”
A Meditation on Risk appears in Fortune magazine: Risk is like that. You stamp it out in one place, and suddenly it appears somewhere else. Bounteous evidence of this phenomenon can be…
- September 21, 2005Kelly Formula, Bell Labs, Data Transmission and Optimal Bet Size
Read the new book Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street by William Poundstone. See my podcast interview with Poundstone here.
- July 6, 2005Money Management Bullshit: Understand Position Sizing
I recently saw the following comment regarding money management: “Every system in our report uses very simple money management: Trade one contract per trading signal in the markets specified by the vendor…