A Bellman View of Jesse Livermore

@article{Polson2014ABV,
  title={A Bellman View of Jesse Livermore},
  author={Nicholas G. Polson and Jan Hendrik Witte},
  journal={CHANCE},
  year={2014},
  volume={28},
  pages={27 - 31}
}
  • Nicholas G. Polson, Jan Hendrik Witte
  • Published 2014
  • Computer Science, Economics, Mathematics
  • CHANCE
  • Richard Bellman's Principle of Optimality, formulated in 1957, is the heart of dynamic programming, the mathematical discipline which studies the optimal solution of multi-period decision problems. In this paper, we look at the main trading principles of Jesse Livermore, the legendary stock operator whose method was published in 1923, from a Bellman point of view. 

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