Integer Programming for Daily Fantasy Sports

Using Integer Programming to find Daily Fantasy Sports lineups with the highest expected points.

July 6, 2022 · Erik Dains

Decomposing Volatility: Continuous and Jump Component

Illustrating how realized volatility can decomposed into a continuous and jump component, providing new modelling opportunities.

May 11, 2022 · Erik Dains

Exploring the Kelly Criterion: The Multi-Period Problem

Exploring how mean-variance methods and the Kelly Criterion compare in multi-period investments

December 18, 2021 · Erik Dains

Exploring the Kelly Criterion: Drawdown

Exploring the Kelly Criterion and its drawdown properties using Monte Carlo

December 8, 2021 · Erik Dains