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  • A mathematical analysis of an exchange-traded horse race betting fund with deterministic payoff betting strategy for institutional investment to challenge EMH

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    Author(s)
    Hopf, Craig George Leslie
    Tularam, Gurudeo Anand
    Griffith University Author(s)
    Hopf, Craig
    Tularam, Gurudeo A.
    Year published
    2015
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    Abstract
    This paper's primary alternative hypothesis is Ha: profitable exchange-traded horserace betting fund with deterministic payoff exists for acceptable institutional portfolio return-risk. The primary hypothesis challenges the semi-strong efficient market hypothesis applied to horse race wagering. An optimal deterministic betting model (DBM) is derived from the existing stochastic model fundamentals, mathematical pooling principles, and new theorem. The exchange-traded betting fund (ETBF) is derived from force of interest first principles. An ETBF driven by DBM processes conjointly defines the research's betting strategy. Alpha ...
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    This paper's primary alternative hypothesis is Ha: profitable exchange-traded horserace betting fund with deterministic payoff exists for acceptable institutional portfolio return-risk. The primary hypothesis challenges the semi-strong efficient market hypothesis applied to horse race wagering. An optimal deterministic betting model (DBM) is derived from the existing stochastic model fundamentals, mathematical pooling principles, and new theorem. The exchange-traded betting fund (ETBF) is derived from force of interest first principles. An ETBF driven by DBM processes conjointly defines the research's betting strategy. Alpha is excess return above financial benchmark, and invokes betting strategy alpha that is composed of model alpha and fund alpha. The results and analysis from statistical testing of a global stratified data sample of three hundred galloper horse races accepted at the ninety-five percent confidence-level positive betting strategy alpha, to endorse an exchange-traded horse race betting fund with deterministic payoff into financial market.
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    Journal Title
    Cogent Mathematics
    Volume
    2
    Issue
    1
    DOI
    https://doi.org/10.1080/23311835.2015.1057370
    Copyright Statement
    © The Author(s) 2015. This is an Open Access article distributed under the terms of the Creative Commons Attribution 4.0 International (CC BY 4.0) License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
    Subject
    Financial Mathematics
    Optimisation
    Publication URI
    http://hdl.handle.net/10072/134591
    Collection
    • Journal articles

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