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Publications on Mathematical Finance
APublicIndexForListedOptions
BeatTheMarket
CanJoeGranvilleTimeTheMarket
CommonStockVolatilitiesInOptionFormulas
ConcaveUtilitiesAreDistinguishedByTheirOptimalStrategies
ExtensionsOfTheBlack-ScholesOptionModel
Abstract_HowDoesTheFortunesFormulaKellyCapitalGrowthModelPerform
(Full article to appear in a 2011 issue of "Journal of Portfolio Management".)
IndexesForValuingListedOptions-continued
KellyCapitalGrowthCriteria
Link to above article available for purchase:
OptionsInInstitutionalPortfolios-TheoryAndPractice
OptionsOnCommodityForwardContracts
PortfolioChoiceAndTheKellyCriterion
ReducingInterestRateRisk-AReportForTheEnergyFuelsCorp
RiskArbitrageInTheNikkeiPutWarrantMarketOf1989-1990
TheCapitalGrowthModel-AnEmpiricalInvestigation
TheCostOfLiquidityServicesInListedOptions-ANote
TheKellyCriterionAndTheStockMarket
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