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Portfolio Construction

https://doi.org/10.2139/ssrn.6714258
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Multifractals and 1/ƒ Noise
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Bayesian Spectrum Analysis and Parameter Estimation
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Multifractal Measures, Especially for the Geophysicist
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Wave Propagation: An Invariant Imbedding Approach
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Why we should not make mean log of wealth big though years to act are long
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Bayesian methods for parameter estimation in effective field theories
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Path integral representation of fractional harmonic oscillator
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Renormalization and fixed points in finance, since 1962
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Quantum Field Theory
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ON THE PRINCIPLE OF INVARIANT IMBEDDING AND PROPAGATION THROUGH INHOMOGENEOUS MEDIA
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INVARIANT IMBEDDING AND THE REDUCTION OF TWO-POINT BOUNDARY VALUE PROBLEMS TO INITIAL VALUE PROBLEMS
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ON THE FUNDAMENTAL EQUATIONS OF INVARIANT IMBEDDING, I
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The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
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Critical point behaviour and probability theory
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A note on Hamilton’s equations and invariant imbedding
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Model Hamiltonians for Local Quantum Field Theory
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Space-Time Approach to Non-Relativistic Quantum Mechanics
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The renormalization group and critical phenomena
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On the role of dynamic programming in statistical communication theory
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Probability, Frequency and Reasonable Expectation
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On k th Best Policies
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Fractional Brownian Motions, Fractional Noises and Applications
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Eye of the Hurricane
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The Kelly Capital Growth Investment Criterion
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Quantitative Finance and Risk Management
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Reaching goals by a deadline: digital options and continuous-time active portfolio management
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On the Distribution of Stock Price Differences
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Applied Dynamic Programming
inferredcites →https://doi.org/10.1515/9781400874668openalex-snapshot
Adaptive Control Processes
inferredcites →https://doi.org/10.2307/1911242openalex-snapshot
A Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.2307/1926559openalex-snapshot
Lifetime Portfolio Selection By Dynamic Stochastic Programming
inferredcites →https://doi.org/10.2307/2002797openalex-snapshot
Functional Approximations and Dynamic Programming
inferredcites →https://doi.org/10.2307/2329779openalex-snapshot
General Proof that Diversification Pays
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The Pareto-Levy Law and the Distribution of Income
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