Graham Giller
Aug 27, 2023

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Thanks. The integral is straightforward using negative exponential utility and the Laplace distribution for the returns (with an non-zero mean, of course, that’s the alpha). Convergence requires that |λhσ|<1 … if you’ll forgive the shameless plug it’s worked out in my new book Essays on Trading Strategy (essay 3). https://amzn.to/3PhleJO

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Graham Giller
Graham Giller

Written by Graham Giller

Predicting important variables about companies and the economy, I turn data into information. CEO of Giller Investments.

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