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Old 01-13-2007, 03:27 AM
PairTheBoard PairTheBoard is offline
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Join Date: Dec 2003
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Default Re: IBM\'s January challenge

[ QUOTE ]
You buy q(i)*X/p(i) of contract i. Your expected log wealth is ln(X) + SUM q(i)*[ln(q(i)) - ln(p(i))].

[/ QUOTE ]

X is your Bankroll?

So if say for some i, q(i)=1/2 and p(i)=1/8 you buy

[(1/2)X]/(1/8) = 4X

or 4 times your Bankroll worth of contract i?

PairTheBoard
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