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1、CHAPTER17investmentlessonsfromblackjackandgamblingInthisChapter...?therulesofblackjack?blackjackstrategyandcardcounting?theKellycriterionandmoneymanagement?noarbitrageinhorseracing17.1INTRODUCTIONWhenIlectureonportfoliomanagementandthemathematicsofinvest
2、mentdecisionsIoftenstartoffwithadescriptionofthecardgameblackjack.Itisaverysimplegame,onethatmostpeoplearefamiliarwith,perhapsbythenameofpontoon,21orvingtetun.Therulesareeasytoremember,eachhandlastsaveryshorttime,thegameiseasilylearnedbychildrenandcouldw
3、ellgivethemtheir?rsttasteofgambling.Forwithoutthisgamblingelementthereislittlepointinplayingblackjack.Sincetherulesaresimpleandtheprobabilitiescanbeanalyzed,blackjackisalsotheperfectgametolearnaboutrisk,returnandmoneymanagementand,perhapsmostimportantly,
4、tohelpyoulearnwhattypeofgambleryouare.Areyouriskaverseorariskseeker?ThisisanimportantquestionforanyonewholaterwillworkinbankingandmaybegamblingwithOPM,otherpeople’smoney.Despiteblackjackbeingperfectforlearningthebasicsof?nancialriskandreturn,anddespiteba
5、nktrainingmanagerslikingtheideaofpeoplebeingtrainedinriskmanagementviathisgame,Iamalwaysaskedbythosetrainingmanagerstochangethetitleofmylecture.‘Youcan’tcallyourlecture“InvestmentLessonsfromBlackjackandGambling,”we’llgetintotroublewith[regulatorgoeshere]
6、.’Thisisabitsilly.Anyonewhodoesn’tthinkthatinvestmentandgamblingsharethesamerootsissilly.IcanevengosofarastosaythatmostprofessionalgamblersthatIknowhaveabetterunderstandingofrisk,returnandmoneymanagementthanmostoftheriskmanagersIknow.Inthischapterwewills
7、eesomeoftheideasthattheseprofessionalgamblersuse.302PartOnemathematicaland?nancialfoundations17.2THERULESOFBLACKJACKPlayersatblackjacksitaroundakidney-shapedtable,withthedealerstandingopposite.Abird’seyeviewisshowninFigure17.1.Beforeanycardsaredealt,thep
8、layermustplacehisbetinfrontofhistableposition.Thedealerdealstwocardstoeachoftheplayers,andtwotohimself(oneofthedealer’scardsisdealtfaceupandtheotherfacedown).Thisisthestateofplayshowninthe?gure.Courtcards(kings,queensandja
