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#1
01-12-2007, 11:00 PM
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Re: IBM\'s January challenge
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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#2
01-13-2007, 03:27 AM
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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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#3
01-13-2007, 04:52 AM
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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 ] 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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Hybrid Mode
