# Leverage, Uncertainty, and Edge - F


## Edges

- [From the Archives: Sources of Edge](https://millervalue.com/sources-of-edge/)  Bill Miller

and from Josh Wolfe from Lux Capital [Lessons from Josh Wolfe (Lux Capital)](https://25iq.com/2018/07/07/lessons-from-josh-wolfe-lux-capital/)  by Ten Griffin July 7, 2018.   And a good discussion in the context of uncertainty how [The Certainty of Uncertainty](https://medium.com/lux-capital/the-certainty-of-uncertainty-ac89c307a81b) by VC capitalist Josh Wolfe

- [Three Uncelebrated Edges](http://thereformedbroker.com/2018/06/25/three-uncelebrated-edges-2/) June 25, 2018 by Joshua M Brown

- the stability of personal view versus crowd wisdom

There is a possible edge in the volatility structure of the markets. Perhaps, it can be found in the dynamics and sizing of the positions, fast versus core, and the volatility regimes. A clearest example is the betting on World Cup football matches. A strategy is to use "wise betting market", which adopts faster, against a relatively fixed personal view of a particular bettor. This strategy seems successful. In the context of games, we face risk but not uncertainty (unknownables).

- the ability to **face UNCERTAINTY is itself an edge**, due to risk-aversion of a typical human

see references to Richard Zeckhauser on Knowen, for instance, [New Frontiers Beyond Risk and Uncertainty: Ignorance, Group Decision, and Unanticipated Themes](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/1693/Zeckhauser%2BPreface%2B-%2BRisk%2Band%2BUncertainty.pdf). Se also by Tren Griffin [Risk, Uncertainty and Ignorance in Investing and Business – Lessons from Richard Zeckhauser](https://25iq.com/2018/09/08/risk-uncertainty-and-ignorance-in-investing-and-business-lessons-from-richard-zeckhauser/) September 8, 2018

see also [Ben Hunt of "Epsilon Theory"](http://www.epsilontheory.com/) about ["Three-body Problem](http://www.epsilontheory.com/three-body-problem/) about general environment uncertainty (basis uncertainty) and Rusty Guinn about [Three-body Portfolio](http://www.epsilontheory.com/three-body-portfolio/)

2020 - uncertainty is largely behavioral? the behavior of Mr Market as well as personal emotions. Liquidity is also the behavioral and therefore not fully consistent/reproducible

- [The Logicof Risk Taking](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/2002/The%2BLogic%2Bof%2BRisk%2BTaking%2B-%2BTaleb.pdf) by Taleb from his book "Skin in the Game"


## [Leverage and Uncertainty](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/1127/Leverage%2Band%2BUncertainty.pdf) by Turlakov

> Risk and uncertainty will always be a matter of experience, luck, skills, and modelling. Leverage is another concept, which is critical for the investor’s decisions and results. Adaptive skills and quantitative probabilistic methods need to be used in successful management of risk, uncertainty and leverage. The author explores how uncertainty beyond risk determines consistent leverage in a simple model of the world with fat tails due to significant, not fully quantifiable and not too rare events. Among particular technical results, for the single asset fractional Kelly criterion is derived in the presence of the fat tails associated with subjective uncertainty. For the multi-asset portfolio, Kelly criterion provides an insightful perspective on Risk Parity strategies, which can be extended for the assets with fat tails.

## [Richard  Feynman](https://knowen.org/nodes/28014)

[the meaning of it all](http://www.inf.fu-berlin.de/lehre/pmo/eng/Feynman-Uncertainty.pdf) - **uncertainty in science is a constructive froce!!!**

![Uncertainty Feynman](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/2228/Feynman%2B-%2BUncertainty.jpg 'Feynman')

# Parents

* Finance

# Attachments

* [first public version](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/1127/Leverage%2Band%2BUncertainty.pdf)
* [](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/2002/The%2BLogic%2Bof%2BRisk%2BTaking%2B-%2BTaleb.pdf)
* [](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/2228/Feynman%2B-%2BUncertainty.jpg)