Thread: Kurtosis risk
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Old 11-12-2007, 10:52 PM
Troll_Inc Troll_Inc is offline
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Join Date: Mar 2006
Posts: 2,566
Default Re: Kurtosis risk


The kurtosis value is off the charts compared to a normal distribution. To what degree would this impact bankroll requirement calculations and is there any RoR forumlas that take kurtosis into account?

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No there aren't any RoR formulas that take kurtosis into account.

Current RoR formulas are a joke.

This section of MoP is a joke.

I think it's pretty clear that the "experts" that post on this Probability Forum and Chen/Ankenman (whoever wrote that section) do not really have a clue about Probability Theory.
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