Roberto Osorio

DUNN Capital Management

309 SE Osceola St Ste 350

Stuart, FL 34994-2250

United States

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Scholarly Papers (1)

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A Prospect-Theory Approach to the Kelly Criterion for Fat-Tail Portfolios: The Case of the Student T-Distribution

Number of pages: 17 Posted: 23 Sep 2008 Last Revised: 08 Oct 2008
Roberto Osorio
DUNN Capital Management
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Abstract:

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Kelly criterion, prospect theory, leverage, fat tails, t-distribution, Student t-distribution