Can you point me to somewhere that explains it in more detail? I feel like I have a pretty good mental model for these things, and (in a theoretical world with two assets with equal risk) it is obvious to me that frequent rebalancing to equal weight is optimal.
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But you allocate less than 23% which means you are using an arithmetic return of less than 50%, hence a negative geometric return! (Also I am like 99% trolling 1% serious)
I stopped making serious relies on this thread a loooooong time ago.
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One thing is that the above analysis assumes normal distributions of returns. Bitcoin is far from such. I've done simulations that tell me I don't need to worry too much about those fat tails but still it makes me allocate less than MVO suggests.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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