Skin in the game

This paper analyzes the cost of putting aside capital as skin in the game (SITG).

Reflections on recent volatility

This paper deals with the unprecedented equity volatility in the second week of February 2018. The paper recaps the week, places the market movement in a historical context, discusses how some traders and funds were affected and offers a few guesses as…

Leverage and uncertainty

By extending the Kelly criterion to a simple probabilistic model with an additional tail risk outcome associated with uncertainty, this paper looks beyond risk and evaluates how uncertainty constrains optimal leverage.

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