1/ Been thinking about non-ergodicity and path dependency due to provocations from @doriantaylor and @TaylorPearsonMe among others. Trying to come up with the simplest toy example I think clarifies the basic question. Here’s what I came up with...
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The Internet Oracle has considered your question deeply. Your answer is: http://research.economics.unsw.edu.au/vpanchenko/papers/WriteMeetsMarkowitz.pdf … h/t to a PhD friend of mine who shall remain anonymous besides his initials, J. A.
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Thanks, added to my new roam page on the subject
10:52 AM - 4 Mar 2020
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