Any pointers to the Optimal-f portfolio allocation method?

Discussion in 'Risk Management' started by mizhael, Mar 24, 2010.

  1. Any code that implements that algorithm?

    Does it work on futures portfolio?

  2. ronblack


    He is asking about porfolio allocation, not position sizing. Position size is just a contraint in portfolio allocation. I thought after thousands of posts you would understand the difference.

    Now forget about all the idiots who propose optimal position sizing. They are all failures. Some have never even traded a single share. Some have only won in contests. Yeah, optimal sizing always works in contests.


    It is mostly used by position sizing aficianados. I understand the difference fine.
  4. Ryan Jones is snake oil.

    Its like walking into WalMart and agreeing to pay in $.50 increments, and then expecting to walk free because of your betting strategy. Without an associated edge, it would be useless.
  5. Position sizing is not an edge. It is similar to stop losses. It is a money management method.

    And yes, his constant attempts to sell Fixed Ratio over the years as if it made the difference were basically snake oil
  6. My suggestion is to back away slowly, and you won't get hurt. Otherwise you might get optimally F'd.
  7. 4EXJOE


    Stay left of optimal f!