Maoning Wang 2016-05-23

last week:

1.literature review on recent problems in the field of computational finance

2.decide to choose "online portfolio selection" as our starting point

3.read(skim) the survey written by Li Bin

4.give a report on "Markowitz's key contribution to portfolio theory"

this week:

1.try to understand "Kelly criterion", particularly the way that researchers change such an model into algorithms

2.find:

(1) if there is an improved such model with risk/volatility/variance involved; turn it into an algorithm if there is one such model; or, turn the baseline algorithms into those considering risk……

(2) if there are any methods to give predictions that Kelly criterion can hence apply; or consider "interval estimation" instead of "point estimation" in the prediction methods