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Old 01-13-2007, 04:52 AM
PairTheBoard PairTheBoard is offline
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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))].

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Assuming X is something that makes sense, it's still not clear what you're doing here. Do you pick the i for which q(i)/p(i) is largest and only buy that contract? Or do you buy some of each contract i for which q(i)>p(i). If the former how do you know that's optimal? If the latter the computation looks a lot more messy.

PairTheBoard
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