0175三連単7−4−32011/05/10(火) 00:02:10.60ID:DrZQHJr0 SBAのRAインデックスとCVDataのRAインデックスって同じなの? 0176三連単7−4−32011/05/16(月) 16:08:13.08ID:cDjrp8LG E Thorp's Kelly Criterion Experience We quote Thorp's experience applying the Kelly approach to portfolio allocation:
My Experience With The Kelly Approach How does the Kelly-optimal approach do in practice in the se- curities markets? In a little-known paper (Thorp, 1971) I discussed the use of the Kelly criterion for portfolio management. Page 220 mentions that \On November 3, 1969, a private institutional in- vestor decided to ... use the Kelly criterion to allocate its assets." This was actually a private limited partnership, specializing in con- vertible hedging, which I managed. A notable competitor at the time (see Institutional Investor, 1998) was future Nobel prize win- ner Harry Markowitz. After 20 months, our record as cited was a gain of 39.9% versus a gain for the Dow Jones Industrial Average of +4.2%. Markowitz dropped out after a couple of years, but we liked our results and persisted. What would the future bring? It is now May, 1998, twenty eight and a half years since the investment program began. The partnership and its continuations have com- pounded at approximately 20% annually with a standard deviation of about 6% and approximately zero correlation with the market (\market neutral"). Ten thousand dollars would, tax exempt, now be worth 18 million dollars. To help persuade you that this may not be luck, I estimate that during this period I have made about $80 billion worth of purchases and sales (\action", in casino language) for my investors. This breaks down into something like one and a quarter million individual \bets" averaging about $65,000 each, with on average hundreds of \positions" in place at any one time. Over all, it would seem to be a moderately \long run" with a high probability that the excess performance is more than chance. 0177三連単7−4−32011/05/18(水) 03:55:51.51ID:wVEAV42z "true counted" unbalanced insurance count,
IRC(initial running count)=-4*(number of decks) count tags for non-tens are +1 count tags for tens are -2
when 6 deck, total 312 cards. C : number of cards dealt N: number of non-ten cards dealt T: number of ten cards dealt number of cards in shoe = 312-C number of decks in shoe = (312-C)/52 RC=-24+N-2T N+T=C probability of insurance win=P
after some calc, TC=52*(-24+C-3T)/(312-C) then (52+TC)/156= by computation at Wolfram Alpha, =(96-T)/(312-C) this is equal to density of ten cards in shoe =P
Kelly optimal insurance bet = BR*(3P-1)/2= by computation at Wolfram Alpha, =BR*TC/104 0178三連単7−4−32011/05/18(水) 17:07:29.37ID:ZhM0dsUJ 釣りじゃないオンラインカジノのカウンティング攻略情報 ttp://www.casino-winnersclub.com/live-counting.php こんな真面目なサイトもあるんだなちょっとビックリ 0179三連単7−4−32011/06/15(水) 23:13:22.54ID:R7K9GIsl SBAはWindowsXPとかWin2000,NTとかよりもWin98SEにインストールして 走らせたほうが格段に動きが速いよ。 新しいPCでVMware Playerを使えば98SEの扱いも簡単だよ。
0186三連単7−4−32011/07/31(日) 09:37:49.20ID:oh7tAc8+ The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling Paul A. Samuelson http://www.ncbi.nlm.nih.gov/pmc/articles/PMC389451/0187[―{}@{}@{}-] 三連単7−4−32011/08/10(水) 01:47:21.85ID:gyeShgzM 港区でインカジ紹介できますよーー 興味のある方はこちらまで ↓↓↓↓↓↓↓↓↓↓↓↓↓ dodosukokoikoi@yahoo.co.jp 0188三連単7−4−32011/08/11(木) 12:06:25.24ID:Hqwd5gYU 先日俺が訪れたベガスのカジノで狙ったテーブルはこうだった ・ミニマム$15〜 ・2デッキ ・半分よりちょい後方にシャッフルカード ・バーンカード1枚 ・シューなしでディーラーが手に持ってカードフェースダウンで手配り
ホリデーカジュアルプレイヤー程度だけど、 Imperial IIカウンティングとなんちゃってPower Progressiveぽく賭け金増やしてって 旅費くらいは稼げたよ 結構長時間連続でやったけど、カウンティング指摘お引取りを…、なんてことは特になかった 0189三連単7−4−32011/08/19(金) 11:28:11.66ID:Hda7i90Q Paul Wilmott on Quantitative Finance, Chapter 17, Kelly criterion http://www.youtube.com/watch?v=o7YIa1w58Yc0190三連単7−4−32011/09/07(水) 19:27:55.93ID:GPCrjscr 同じリスクで、2ハンドで打つときのベット額の計算
per 1 round, adv = expected value of outcome per 1 unit bet variance = 1.32, ---1 unit single hand bet ---(1) variance = 1.32n + 0.48n(n-1), ---1 unit x n hands bet ----(2) 0.48 is covariance
w = win rate per 1 round, σ^2= variance per 1 round
recalling, ROR = exp(-2*BR*w/ σ^2) , BR = bankroll so, same risk is equivalent to same w/σ^2 so, w/σ^2 of (1) and (2) should be same.
when single hand bet=100, w=adv*100, σ^2=*1.32
when 2 hands bet = 2X, w=adv * 2X, σ^2=X^2 * [1.32*2 + 0.48*2*(2-1)] by solving those w/σ^2 are same, X=73.33
遊びなんだからマジなんなって 0211三連単7−4−32012/03/23(金) 07:37:41.54ID:+F7lS5TU Patrik Anderssonの論文では伊藤清のIto calculusやDoobのMartingaleが使われている。 0212三連単7−4−32012/03/30(金) 12:03:17.07ID:QZVvO0JW The Man Who Broke Atlantic City
Don Johnson won nearly $6 million playing blackjack in one night, single-handedly decimating the monthly revenue of Atlantic City’s Tropicana casino. Not long before that, he’d taken the Borgata for $5 million and Caesars for $4 million. Here’s how he did it.
By MARK BOWDEN http://www.theatlantic.com/magazine/archive/2012/04/the-man-who-broke-atlantic-city/8900/0213三連単7−4−32012/04/01(日) 03:46:12.84ID:BOuQkXG4 In October, the U.K.'s Permira Advisers LLP said it would buy Japan's Arysta Lifescience Corp. for about 250 billion Japanese yen (US$2.2 billion; euro1.5 billion) from another private-equity firm, Olympus Capital Holdings Asia. (Associated Press 2007-12-10 05:52 PM)
BJStrike ver 4.0 の ウィンドウズ・バージョンではなく、 (Linux x86 32bit )バージョンを 使う理由は、マルチコアCPUのPCで、マルチ・スレッディングが使えて、シムのスピードが速いから。 0221三連単7−4−32012/05/03(木) 14:38:04.38ID:Ma2MoW0a Scientific Linux 6.2 i386 もいいけれども、 Solaris 10 x86 も試してみれば。