Michael Harris
Aug 25, 2017 · 1 min read

In other words, assuming the SP500 has a certain expected return “alpha”, an ergodic strategy would generate a strategy, say Kelly Criterion, to capture the assumed alpha. If it doesn’t, because of absorbing barrier or something else, it is not ergodic.

Two questions professor”

  1. Is Kelly a strategy or a risk management method to apply to a strategy? Or these two are the same?
  2. Is non ergodic then a posterior assessment?

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    Michael Harris

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    Quant systematic and discretionary trader, trading book author and developer of DLPAL machine learning software. No investment advice. #quant #trading #finance