Conversation

This is mathematically wrong but in a pretty subtle way. It's not really going to fit into a tweet but

@danrobinson

I'd be happy to have a call/chat/podcast/debate/etc. with you on it :)

Quote Tweet

Dan Robinson

@danrobinson

Dec 2, 2020

tl;dr: AMM skeptics blown the fuck out twitter.com/danrobinson/st…

152

Replying to

and

Which step do you think contains an error? math.dartmouth.edu/~mtassy/articl

Replying to

and

It's trying to maximize EV[log(wealth)] instead of EV[wealth]. This is probably wrong in and of itself as an assumption to make. But if you *do* want to make that assumption, then e.g. you have to consider all of your assets that don't have anything to do with the pool.

9:34 PM · Dec 2, 2020Twitter Web App

Quote Tweets

Likes

This Tweet was deleted by the Tweet author. Learn more

Replying to

and

read my third sentence

Replying to

I don't think that's true at all. Consider, e.g., web.stanford.edu/~boyd/papers/p

Replying to

Either way, I think this is a bit of a silly criticism... especially since E[log(X)] ≤ log(E[X]) by concavity of log, so the log-expected wealth grows at least as fast as the expected log-wealth, so this *also* provides a lower bound for the quantity you want.

Show replies

Replying to

You did not just dispute the Kelly criterion Sam, or did you?

Replying to

Haha you say it like he’s smiting God or something 🙃

Show replies

Replying to

Whats EV in this context

Replying to

Like what does it stand for? Enterprise value?

Show replies

Replying to

I agree with the last point (and so find the whole discussion about the terribly named "impermanent loss" stupid). But I think your first point is nit picking. Log utilities are a pretty standard economic assumption, and is more realistic than the gbrownian motion assupmptions

Replying to

Also, their topline claim was that there exists a scenario where liquidity providers are profitable in expectation, which they showed.