Well, you don't necessarily want to optimize expected return alone, since you also care about the probability of ruin. Which is why Monte Carlo's are great, you

Well, you don't necessarily want to optimize expected return alone, since you also care about the probability of ruin. Which is why Monte Carlo's are great, you get everything for free without having to think very hard. (All particle physicists are trained to reach for a toy MC before thinking about anything :) ).