Homework. Please take seriously the indications (e.g.: a two pages summary can be slightly longer or shorter, but not 1 page or 4 pages long. Figures and tables (if you include any) do not matter in assessing how long the summary was.)

Please tell Jessica Spataro which homework you have chosen as soon as you have decided. All homeworks should be sent to Jessica in electronic format (possibly in .pdf format) by December 11, 2009. Do NOT put your name on the homework.

1. The Kelly criterion and sports betting: download the original paper of Kelly here , read it and write a 2 pages summary. Then describe in 1 page how you would implement a Kelly strategy for risk management in repeated bets on sports events (choose one: soccer, baseball, etc.). Facultative question: are you able to illustrate your strategy with empirical data?

2. Investment strategies and hidden variables: download this article by Petroni and Serva, read it and write a 2-3 pages summary. Then describe in 1 page a concrete situation where the strategy proposed by Petroni and Serva can be applied. Facultative question: are you able to illustrate your strategy with empirical data?

3. Optimal leverage through nonergodicity: download this preprint by Ole Peters, read it and write a 3-4 pages summary. Are you able to illustrate the author's argument with empirical data other than those used by him?

4. Mandelbrot's cotton prices: download this 1963 paper by Benoit Mandelbrot., read it and write a 4-5 pages summary. Are you able to illustrate some of the author's most significative findings with empirical data other than those used by him?

5. Hsieh 1991 Journal of Fianance paper (the stockmarket dimension is about 6): download this paper, read it and write a 4-5 pages summary. Are you able to illustrate some of the author's most significative findings with empirical data other than those used by him?