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@kgwgk You are conceptually all over the place since you don't understand the topic. "If EE is just a way to choose the U in EUT how does that mean that EUT is
by ReflectedImage 6y ago
@kgwgk You are conceptually all over the place since you don't understand the topic.
"If EE is just a way to choose the U in EUT how does that mean that EUT is incorrect?"
EE doesn't choose the U in the EUT. EE has something similar to U in it's math where you can select any function of a certain class and plug it in.
One of those function when plugged in gives out the Kelly criteria.
"If it does give the right result why do you say elsewhere that "they aren't quite identical and it does make a difference" and you coded and ran a simulation that proves it?"
The simulation ran the game purposed by Ole Peters where they give different results. Only in special games like the ones typically purposed by economists, do they give the same result.
- kgwgk 6y agoHas it crossed your mind thay maybe it's you who doesn't understand the topic? EUT doesn't say what the U is. It only says that one can be found if the agent's preferences are rational (for some definition of rationality). Can you point to an example where EE provides a solution that cannot be represented by some utility function?
- kgwgk 6y ago> The simulation ran the game purposed by Ole Peters where they give different results. I don't know if that game is related to "retirement portfolios", probably not. I understand then that you don't object to my claim that ergodicity economic formulas generate exactly the same portfolio as the "regular economics" approach when you make the same assumptions that are implicit in the asymptotic growth maximization (no spending, infinite horizon, logarithmic utility). And that you agree with Ole Peters and yours truly that asymptotic growth maximization of a multiplicative process gives the same solution as the maximization of logarithmic utility.