arXiv research

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1 result for “Munger”

Sizing the bets in a focused portfolioq-fin.PM

Mathematical model for focused investing reduces diversification risks.

problem Reduces diversification risks in focused investing portfolios.

method Generalized Kelly Criterion with constraints for optimal capital allocation.

result Software shows excessive diversification in real portfolios.

focused investing Kelly Criterion portfolio optimization Buffett Munger

2024-02-23abs ↗pdf ↗