4 ms·

True. It makes more money I've coded and run the simulations. The rest is just you arguing against a strawman in your head.

kgwgk 6y ago
Growth-optimal portfolios are part of regular economics. Look it up. Maybe there was something wrong with your code? Because optimizing asymptotic growth and maximizing logarithmic utilty are mathematically identical.
- ReflectedImage 6y ago
  Ergonomic Economics (EE) is a more general theory than Growth-optimal portfolios. Kelly's criterion is a special case of EE. EE doesn't suffer from the same problems as Growth-optimal portfolios either (Kelly's is a hyper aggressive form of EE). "Maybe there was something wrong with your code? Because optimizing asymptotic growth and maximizing logarithmic utilty are mathematically identical." So naive and so wrong. That's only true if you structure the problem to make it true. In the general case, not at all.
  - kgwgk 6y ago
    I said "generate exactly the same portfolio (...) when you make the same assumptions that are implicit in the asymptotic growth maximization". You said it was not so. That you coded and ran the simulations. Did you compare the asymptotic growth maximization of a multiplicative process with the logarithmic utility solution? Yes or no? Either you simulated something else or you did something wrong trying to simulate two problems that everyone agrees that are identical.
    - ReflectedImage 6y ago
      Yes I did. They aren't quite identical and it does make a difference. "that everyone agrees that are identical." Except of course the theory of thermodynamics. But now you are going to try to explain to me that the theory of thermodynamics is wrong. Hint: I won't be impressed.
      - kgwgk 6y ago
        Will you believe it from the mouth of Ole Peters himself? This is from the Nature Physics article: "we had worked out in detail the correspondences between linear utility and additive dynamics; and between logarithmic utility and multiplicative dynamics" From "The time resolution of the St Petersburg paradox": "the time-average performance of the lottery is computed. The final result can be phrased mathematically identically to Daniel Bernoulli's resolution, which uses logarithmic utility" "Equation (6.10) is mathematically equivalent to Bernoulli's use of logarithmic utility."
      - kgwgk 6y ago
        Seriously, this is a mathematical fact. The opinion of the theory of thermodynamics is irrelevant and your simulation cannot disprove it. It's not a matter of opinion. There is no reason to disagree. You don't have to take my word for it. You don't even have to believe Ole Peters when he says that asymptotic growth maximization in a multiplicate process is equivalent to logarithmic utility maximization. The maths are not that complex. You can derive it yourself of find a proof and go through it until you're satisfied. You insists a simulation that you coded and ran shows that this mathematical identity is false. I can think of multiple reasons. For example: - you are thinking of something other than a multiplicative process and the maximization of growth and logarithmic utility - you coded something that doesn't does what you think it does - the output you produced doesn't says what you think it says - you have fun playing dumb on the internet

kgwgk 6y ago

Growth-optimal portfolios are part of regular economics. Look it up. Maybe there was something wrong with your code? Because optimizing asymptotic growth and maximizing logarithmic utilty are mathematically identical.

ReflectedImage 6y ago
Ergonomic Economics (EE) is a more general theory than Growth-optimal portfolios. Kelly's criterion is a special case of EE. EE doesn't suffer from the same problems as Growth-optimal portfolios either (Kelly's is a hyper aggressive form of EE). "Maybe there was something wrong with your code? Because optimizing asymptotic growth and maximizing logarithmic utilty are mathematically identical." So naive and so wrong. That's only true if you structure the problem to make it true. In the general case, not at all.
- kgwgk 6y ago
  I said "generate exactly the same portfolio (...) when you make the same assumptions that are implicit in the asymptotic growth maximization". You said it was not so. That you coded and ran the simulations. Did you compare the asymptotic growth maximization of a multiplicative process with the logarithmic utility solution? Yes or no? Either you simulated something else or you did something wrong trying to simulate two problems that everyone agrees that are identical.
  - ReflectedImage 6y ago
    Yes I did. They aren't quite identical and it does make a difference. "that everyone agrees that are identical." Except of course the theory of thermodynamics. But now you are going to try to explain to me that the theory of thermodynamics is wrong. Hint: I won't be impressed.
    - kgwgk 6y ago
      Will you believe it from the mouth of Ole Peters himself? This is from the Nature Physics article: "we had worked out in detail the correspondences between linear utility and additive dynamics; and between logarithmic utility and multiplicative dynamics" From "The time resolution of the St Petersburg paradox": "the time-average performance of the lottery is computed. The final result can be phrased mathematically identically to Daniel Bernoulli's resolution, which uses logarithmic utility" "Equation (6.10) is mathematically equivalent to Bernoulli's use of logarithmic utility."
    - kgwgk 6y ago
      Seriously, this is a mathematical fact. The opinion of the theory of thermodynamics is irrelevant and your simulation cannot disprove it. It's not a matter of opinion. There is no reason to disagree. You don't have to take my word for it. You don't even have to believe Ole Peters when he says that asymptotic growth maximization in a multiplicate process is equivalent to logarithmic utility maximization. The maths are not that complex. You can derive it yourself of find a proof and go through it until you're satisfied. You insists a simulation that you coded and ran shows that this mathematical identity is false. I can think of multiple reasons. For example: - you are thinking of something other than a multiplicative process and the maximization of growth and logarithmic utility - you coded something that doesn't does what you think it does - the output you produced doesn't says what you think it says - you have fun playing dumb on the internet