notices - See details
Notices
M
Martin (not verified)
29th December 2019 | 12:09am

What a waste of time.
Foremostly, you did not even bring the correct formula to the table.
Explicit laziness on your part for not even reading E.Thorp's implementation.

Errors:
1. You modeled the portfolio with discrete probabilities
2. Did account for individual drift rates nor variance rates.
3. No dynamical reallocation between securities and fixed income.

I could go on but I'd be wasting my time on this.