A quant trading question I’ve never found a good answer to — how to decide between spending time improving an existing strategy (high certainty, low return on effort) vs starting something entirely new (uncertain but potentially high return on effort).
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Portfolio theory FTW. Really you need both going at the same time. You have some long-term baseline allocation of time/effort/resources to each, and locally you can deviate from that baseline if you think there's value to doing so.
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Little incentive to do so. This effort-allocation stuff is hard and very valuable... :)
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Allocation of effort (explore/e ploit trade) is truly one of the most important problems in life. I probably lean too far towards explore. But it's fun.
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Reinforcement Learning: Industrial Applications of Intelligent Agentshttps://www.amazon.nl/dp/1098114833/ref=cm_sw_r_awdo_navT_g_3FRQ0XRKK3TE232Q5387 …
Thanks. Twitter will use this to make your timeline better. UndoUndo
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https://linksharing.samsungcloud.com/qATeHBglrjMH A lot of ways to formalize this
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Some better modern versions of black litterman too
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