Nonlinear, the other paper along these lines (and shows as well as the calculation for the manifold of inflection points) also shows the caclulation for the manifold of zeta-points (all in the hyaline manifold of what I refer to as "Leverage Space" for lack of a more creative term) but this paper is a little tougher pull thaan the one I mentioned above: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2364092 The book is a more digestible trailhead to these ideas, the papers, a complete exposition of the calculations behind them. (Yes, I'm Ralph Vince, at least I was when I went to sleep last night, I come onto Elite Trader every few weeks or so and try to catch up with things, but I'm not always able to do it lately. Besides, I signed an agreement 5 or so years ago with a large index provider to refrain from any social media participation, and I don't want to test that).
Yes, that's essentially what I am looking for: not the maximum growth rate, but the growth rate which yields maximum utility with respect to some sensible utility function.
An unexpected pleasure to find you posting here. I wouldn't worry too much: given the tone of many of the contributions here, it would be a considerable stretch to interpret ET as any kind of "social" media?
Either I misunderstood you are you are just being argumentative. Replace "roulette" with "swing trading with a positive expectancy" if you like. Or don't, I don't care.
I don't care as well. Only one thing is for sure, if statistic or/and pure science approach for trading could work then statisticians or/and scientists would be richest people in the world.
It looks like the convergence is very fast. After some 20 periods, it would be almost indistinguishable from the infinite horizon, correct? I am including the figure from one of your papers below (hope you don't mind). In my case, the number of periods is around 300.
Its a slightly simplistic argment, I think, Stepan? There are certainly both scientists and statisticians (e.g. market/financial analysts at Goldman Sachs and elsewhere) among the world's richest, anyway.
How many folks from GS, MS, JPM, C etc. (except their CEOs, or former employees that moved to HF) in top the world's richest?