Systematic and discretionary investment strategies alike are game plans, which should perform under risk, i.e. quantifiable outcomes of “known unknowns”, and under uncertainty, i.e. unquantifiable “unknown unknowns”. Investment strategies must capitalize on actionable new information while tolerating information noise and market volatility. In this short article, I review some foremost insights about risk, uncertainty, and strategies’ edge from wonderful books by Ed Thorp, Aaron Brown, and Michael Mauboussin. [timeless] In a new book “A Man for All Markets”, Ed Thorp describes his successful and exciting adventures in gambling and markets. His general strategy is always to look for edge (excess return)…
Finding Investment Strategies Under Risk And Uncertainty
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