or locked coins you have, or your house, or any number of other things that aren't ETH
Conversation
Uh sure but have we resolved the math thing? Was I right about the math?
1
1
uh you were right that it depends on the assumptions you make, sorry about that!
in order for your actualy claim to be right you need to make batshit crazy assumptions
Quote Tweet
2
and the original thing you said that spawned this violates those assumptions you'd have to be making to justify your later claim
Quote Tweet
Replying to @SBF_FTX @SBF_Alameda and 3 others
Totally, it’s irrelevant. But given that you are managing this $1k as its own pot, might as well manage it well. If you robotically maximize EV for it, then it will get St. Petersburged and end up at 0 with very high probability
1
So, like, I think in the real world and also in the world that we had been talking about they're not independent, but you can construct other worlds where they are independent
1
1
I don't think assumptions 1 or 2 are necessary. Agree?
Quote Tweet
Replying to @danrobinson @SBF_Alameda and 3 others
Actually, I think this means we can drop the no-transfers assumption too. Because there will never be a need to rebalance between pots (because each pot is always equal in value). Optimal rebalancing is done within each pot.
2
And the other assumptions (to the extent I understand your assumption 4) were necessary already.
So, do we agree that if log-portfolio-wealth maximization is optimal for the full portfolio, log-pot-wealth-maximization is optimal if the portfolio is divided into pots?
2
what do you mean "were necessary already"? necessary for what?
2
For log-wealth-optimization to be optimal at the portfolio level
1
uh why?
I mean I don't think log-wealth-optimization is optimal in the first place so technically I agree
I guess you're saying that really you're doing some "I want percentiles to be high" model and so that's only equivalent to log-wealth-opt under certain assumptions?
1
hm ok so I think my conclusion here is that we were, in fact, not disagreeing on the math -- we were just disagreeing on the assumptions
though as I understand it your assumptions now include "thinks such that my personal preference function would be equivalent to log-wealth"
Uh I'm trying to resolve a very specific sub-point: that if you divide a portfolio into pots, then the strategy of optimizing the log wealth of each pot is also the strategy that optimizes the log wealth of the portfolio.
1
The only new assumption that it depends on AFAICT is that the investment opportunities are divisible.
1
1
Show replies